To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk and return expectations, this paper explores portfolio reallocations among equity, bond, and money market mutual funds. As predicted by the literature on optimal portfolio...

To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk and return expectations, this paper explores portfolio reallocations among equity, bond, and money market mutual funds. As predicted by the literature on optimal portfolio...

Utilizing monthly aggregate flow data for U.S. equity mutual funds over 1986-2008, we document several new findings on investor behavior. First, we find a strong negative relationship between changes in expected market volatility as measured by the VIX index and net equity fund flows. Second, we...

We find that aggregate net equity fund flows are strongly negatively correlated with changes in expected future stock market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale decisions by risk perceptions, we further find that...

Using a unique proprietary data set of trades by all large traders in the crude oil, gasoline, and heating oil futures markets, we explore determinants of their individual trading profits/losses. Consistent with the risk premium hypothesis, hedgers' mean trading profits are significantly...