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Machine Learning Mutual Fund Flows

https://doi.org/10.2139/ssrn.4812038

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Outgoing claims: the papers this work cites, builds on, or argues with.

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How is machine learning useful for macroeconomic forecasting?

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The Elements of Statistical Learning: Data Mining, Inference, and Prediction

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Common risk factors in the returns on stocks and bonds

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Aggregate mutual fund flows and security returns

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Classification and regression trees

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Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives

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Real-time inflation forecasting using non-linear dimension reduction techniques

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Mutual fund flows, expected returns, and the real economy

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Approximately normal tests for equal predictive accuracy in nested models

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Asset Fire Sales (and Purchases) in Equity Markets

inferredcites →https://doi.org/10.1016/j.jfineco.2007.07.001openalex-extracted

Dumb money: Mutual fund flows and the cross-section of stock returns

inferredcites →https://doi.org/10.1016/j.jfineco.2008.05.003openalex-extracted

Individual investor mutual fund flows☆

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When should firms share credit with employees? Evidence from anonymously managed mutual funds

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Payoff complementarities and financial fragility: Evidence from mutual fund outflows

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Measuring investor sentiment with mutual fund flows

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Allocation of Decision Rights and the Investment Strategy of Mutual Funds

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A five-factor asset pricing model

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Measuring skill in the mutual fund industry

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Assessing asset pricing models using revealed preference

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Indexing and active fund management: International evidence

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Investor flows and fragility in corporate bond funds

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Machine learning in the Chinese stock market

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Fire Sale Risk and Expected Stock Returns

inferredcites →https://doi.org/10.1016/j.jfineco.2023.07.004openalex-extracted

Machine-learning the skill of mutual fund managers

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Machine learning and fund characteristics help to select mutual funds with positive alpha

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Charting by machines

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From Man vs. Machine to Man + Machine: The art and AI of stock analyses

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Testing the equality of prediction mean squared errors

inferredcites →https://doi.org/10.1016/s0169-7439(97)00061-0openalex-extracted

Introduction to multi-layer feed-forward neural networks

inferredcites →https://doi.org/10.1016/s0304-405x(99)00028-8openalex-extracted

Investor flows and the assessed performance of open-end mutual funds

inferredcites →https://doi.org/10.1017/s0022109000014393openalex-extracted

Star Power: The Effect of Monrningstar Ratings on Mutual Fund Flow

inferredcites →https://doi.org/10.1017/s0022109009990500openalex-extracted

Fund Flow Volatility and Performance

inferredcites →https://doi.org/10.1017/s002210901600082xopenalex-extracted

Seasonal Asset Allocation: Evidence from Mutual Fund Flows

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Random Forests

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From local explanations to global understanding with explainable AI for trees

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Comparing Predictive Accuracy

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Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods

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Liquidity Risk and Expected Stock Returns

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Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry

inferredcites →https://doi.org/10.1086/516389openalex-extracted

Risk Taking by Mutual Funds as a Response to Incentives

inferredcites →https://doi.org/10.1093/rapstu/raaa015openalex-extracted

Mutual Fund Performance and Flows during the COVID-19 Crisis

inferredcites →https://doi.org/10.1093/rapstu/rav005openalex-extracted

Managerial Activeness and Mutual Fund Performance

inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-extracted

Empirical Asset Pricing via Machine Learning

inferredcites →https://doi.org/10.1093/rfs/hhaa043openalex-extracted

Models or Stars: The Role of Asset Pricing Models and Heuristics in Investor Risk Adjustment

inferredcites →https://doi.org/10.1093/rfs/hhaa045openalex-extracted

What Do Fund Flows Reveal About Asset Pricing Models and Investor Sophistication?

inferredcites →https://doi.org/10.1093/rfs/hhaa062openalex-extracted

Bond Risk Premiums with Machine Learning

inferredcites →https://doi.org/10.1093/rfs/hhab081openalex-extracted

What Do Mutual Fund Investors Really Care About?

inferredcites →https://doi.org/10.1093/rfs/hhad017openalex-extracted

Option Return Predictability with Machine Learning and Big Data

inferredcites →https://doi.org/10.1093/rfs/hhg054openalex-extracted

Family Values and the Star Phenomenon: Strategies of Mutual Fund Families

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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction

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Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

inferredcites →https://doi.org/10.1093/rfs/hhn042openalex-extracted

Mutual Fund Fees Around the World

inferredcites →https://doi.org/10.1093/rfs/hhs103openalex-extracted

A Flow-Based Explanation for Return Predictability

inferredcites →https://doi.org/10.1093/rfs/hhs182openalex-extracted

Mutual Fund's R 2 as Predictor of Performance

inferredcites →https://doi.org/10.1093/rfs/hhw054openalex-extracted

Which Factors Matter to Investors? Evidence from Mutual Fund Flows

inferredcites →https://doi.org/10.1093/rfs/hhx015openalex-extracted

Fund Flows and Market States

inferredcites →https://doi.org/10.1093/rfs/hhx019openalex-extracted

The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns

inferredcites →https://doi.org/10.1093/rfs/hhz054openalex-extracted

Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs

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How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach

inferredcites →https://doi.org/10.1093/rof/rfr027openalex-extracted

What Drives Market Share in the Mutual Fund Industry?

inferredcites →https://doi.org/10.1111/0022-1082.00066openalex-extracted

Costly Search and Mutual Fund Flows

inferredcites →https://doi.org/10.1111/0022-1082.00131openalex-extracted

Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability

inferredcites →https://doi.org/10.1111/0022-1082.00410openalex-extracted

A First Look at the Accuracy of the CRSP Mutual Fund Database and a Comparison of the CRSP and Morningstar Mutual Fund Databases

inferredcites →https://doi.org/10.1111/fima.12378openalex-extracted

Investor Learning and Mutual Fund Flows

inferredcites →https://doi.org/10.1111/j.1467-9868.2005.00503.xopenalex-extracted

Regularization and Variable Selection Via the Elastic Net

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Another Puzzle: The Growth in Actively Managed Mutual Funds

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On Persistence in Mutual Fund Performance

inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01236.xopenalex-extracted

Participation Costs and the Sensitivity of Fund Flows to Past Performance

inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01311.xopenalex-extracted

Which Money Is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors

inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01497.xopenalex-extracted

The Relation between Price and Performance in the Mutual Fund Industry

inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01579.xopenalex-extracted

Mutual Fund Incubation

inferredcites →https://doi.org/10.1126/sciadv.adk3452openalex-extracted

REFORMS: Consensus-based Recommendations for Machine-learning-based Science

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XGBoost

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Optuna

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Principal Component Analysis

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Machine Learning Methods That Economists Should Know About

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Factor Models, Machine Learning, and Asset Pricing

inferredcites →https://doi.org/10.1287/mnsc.2021.03417openalex-extracted

Mutual Fund Shareholder Letters: Flows, Performance, and Managerial Behavior

inferredcites →https://doi.org/10.1287/mnsc.2023.4695openalex-extracted

Deep Learning in Asset Pricing

inferredcites →https://doi.org/10.2139/ssrn.1661447openalex-extracted

How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach

inferredcites →https://doi.org/10.2139/ssrn.1720105openalex-extracted

Mutual Fund Flows, Expected Returns, and the Real Economy

inferredcites →https://doi.org/10.2139/ssrn.350664openalex-extracted

A First Look at the Accuracy of the Crsp Mutual Fund Database and a Comparison of the Crsp and Morningstar Mutual Fund Databases

inferredcites →https://doi.org/10.2139/ssrn.3737667openalex-extracted

Selecting Mutual Funds from the Stocks They Hold: A Machine Learning Approach

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Common Fund Flows: Flow Hedging and Factor Pricing

inferredcites →https://doi.org/10.2139/ssrn.4520856openalex-extracted

Financial Machine Learning

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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Asymptotic Inference about Predictive Ability

inferredcites →https://doi.org/10.2307/2297912openalex-extracted

Automatic Lag Selection in Covariance Matrix Estimation

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The Generalization of `Student's' Problem when Several Different Population Variances are Involved

inferredcites →https://doi.org/10.2307/3595011openalex-extracted

The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds

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On a Method to Measure Supervised Multiclass Model’s Interpretability: Application to Degradation Diagnosis (Short Paper)

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Adam: A Method for Stochastic Optimization

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Hyperband: A Novel Bandit-Based Approach to Hyperparameter Optimization

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A Unified Approach to Interpreting Model Predictions

inferredcites →https://doi.org/10.48550/arxiv.2109.09847openalex-extracted

Fast TreeSHAP: Accelerating SHAP Value Computation for Trees

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Interpretable machine learning

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