Assignment

Variables | Net flow |

| Raw Return | Excess Return |

C | -3145127[-5.43] | -3358812[-5.69] |

Return*High | 216571[0.79] | |

Return*Low | -295502[-1.36] | |

Lagged Return*High | -15992[-0.05] | |

Lagged Return*Low | 296182[1.11] | |

Excess Return*High | | 758181[1.99] |

Excess Return*low | | -777650[-1.92] |

Lagged Excess Return*High | | 3002[0.01] |

Lagged Excess Return*low | | 167119[0.67] |

Ln (Asset) | 269449**[5.68] | 285955**[5.93] |

Expense | -4.93**[-2.95] | -4.85**[-2.90] |

Lagged Netflow | -0.038708[-1.30] | -0.039239[-1.32] |

**Significant at 1% level

Variables | Inflow 1 | Inflow 2 | Inflow 3 |

| Raw | Excess | Raw | Excess | Raw | Excess |

C | -2375787[-3.69] | -2509577[-3.82] | -2640964[-4.22] | -2804968[-4.40] | -2336472[-3.96] | -2490643[-4.14] |

Return*High | 425157[1.40] | | 360037[1.22] | | 455954[1.63] | |

Return*Low | -260738[-1.08] | | -147320[-0.63] | | -245244[-1.11] | |

Lagged Return*High | -274650[-0.81] | | -262628[-0.80] | | -173303[-0.56] | |

Lagged Return*Low | 236159[0.79] | | 231869[0.80] | | 389307[1.43] | |

Excess Return*High | | 848400[1.99] | | 722099[1.74] | | 818420*[2.09] |

Excess Return*low | | -520584[-1.15] | | -576127[-1.31] | | -599349[-1.45] |

Lagged Excess Return*High | | -250565[-0.82] | | -231435[-0.78] | | -243596[-0.87] |

Lagged Excess Return*low | | 205824[0.74] | | 58686[0.22] | | 211986[0.84] |

Ln (Asset) | 201778**[3.83] | 212039**[3.95] | 227172**[4.43] | 239871**[4.60] | 197315**[4.08] | 209525**[4.26] |

Expense | 10.80**[5.34] | 10.84**[5.36] | 16.51**[8.01] | 16.55**[8.03] | 7.68**[4.46] | 7.77**[4.51] |

Lagged inflow | -0.03[-0.85] | -0.02[-0.84] | 0.01[0.39] | 0.01[0.40] | -0.11[-3.94] | -0.11[-3.93] |

Variables | Outflow 1 | Outflow 2 |

| Raw | Excess | Raw | Excess |

C | 272193[0.94] | 326961[1.11] | 381728[1.21] | 427258[1.33] |

Return*High | 123907[0.91] | | 144039[0.97] | |

Return*Low |...