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Investor Sentiment and Flows into Treasury Funds

Padma Kadiyala
The Journal of Investing Winter 2018, 27 (4) 19-42; DOI: https://doi.org/10.3905/joi.2018.27.4.019
Padma Kadiyala
is a professor of finance at Pace University in Pleasantville, NY
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Abstract

The author compares the relative response of Treasury fund flows to the sentiment-prone Michigan Survey of Inflation Expectations and to the Blue Chip Survey of Financial Forecasts, a professional forecast of inflation. The Treasury market is an ideal subject for examining whether or not sentiment affects flows: it is highly liquid, making it unlikely that it is hard to arbitrage, and inflation is the primary factor affecting its returns. Using mutual fund inflows into TIPs and Treasury mutual funds that occurred between January 1991 and June 2011, the author finds that the Michigan Survey is insignificantly related to flows into inflation-indexed TIPs and is positively related to flows into nominal Treasury funds. The Blue Chip Survey does not have incremental explanatory power. The evidence is consistent with a combination of a hedging motive and a flight to liquidity triggered by information in the Michigan Survey about households’ perception of financial market risk. The two motives reinforce each other in driving flows into nominal Treasury funds when the Michigan forecast of inflation is high, while they appear to cancel each other out in determining flows into the illiquid TIPS market.

TOPICS: Fixed income and structured finance, statistical methods, mutual funds/passive investing/indexing

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The Journal of Investing: 27 (4)
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Vol. 27, Issue 4
Winter 2018
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Investor Sentiment and Flows into Treasury Funds
Padma Kadiyala
The Journal of Investing Nov 2018, 27 (4) 19-42; DOI: 10.3905/joi.2018.27.4.019

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Investor Sentiment and Flows into Treasury Funds
Padma Kadiyala
The Journal of Investing Nov 2018, 27 (4) 19-42; DOI: 10.3905/joi.2018.27.4.019
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  • Article
    • Abstract
    • TIPS AND TREASURY BONDS
    • SURVEY- AND ASSET-BASED MEASURES OF INFLATION
    • MUTUAL FUND FLOW DATA
    • FUND FLOWS AND EXPECTED INFLATION
    • EVIDENCE FROM SUBSORTS OF THE SAMPLE
    • SENTIMENT IN MICHIGAN SURVEY RELATED TO LEVEL OR RISK OF INFLATION?
    • CONCLUSIONS
    • ACKNOWLEDGMENTS
    • ENDNOTES
    • REFERENCES
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