大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Risk, Return and New Information: Learning from the Flow

Ido Kallir (S. Peres Academic Center, Graduate School of Business)

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Risk, Return and New Information: Learning from the Flow

Ido Kallir (S. Peres Academic Center, Graduate School of Business)

This paper provides new evidence on how information shapes the flow of Pension Funds and how households learn to improve their investments from newly available information. We use a unique database that includes monthly information of ten years of Returns, Alphas, Asset Allocation and the Flow of Funds of the entire Providence Funds market in Israel. We also obtain the Dollar-value invested in advertising by each Family of Funds and the number of log-ins to the governmental system which ranks the funds. We use these three complimentary databases in order to construct a unique empirical setting. We show that the determinants of the Flow of Funds adjust themselves to the investor’s ability to receive information, either objectively, i.e., risk adjusted rating, or subjectively, i.e., advertisements. We also demonstrate that the investors’ capacity to utilize financial factors is determined by how easily this information can be accessed. Finally, we show that though superior performance is interpreted to additional advertisement, the campaigns are ineffective. Only small fund families’ advertising campaigns are able to create new flow.