Work

Return Persistence and Fund Flows in the Worst Performing Mutual Funds

Year: 2007

Type: report

Abstract: We document that the observed persistence amongst the worst performing actively managed mutual funds is attributable to funds that have performed poorly both in the current and prior year.We demonstrate that this persistence results from an unwillingness of investors in these funds to respond to bad performance by withdrawing their capital.In contrast, funds that only performed poorly in the current year have a significantly larger (out)flow of funds/return sensitivity and consequently show no evidence of persistence in their returns.

Source: National Bureau of Economic Research

DOI: 10.3386/w13042

Authors: Jonathan Berk, Ian Tonks

Institutions: National Bureau of Economic Research, University of Exeter, University of California, Berkeley

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: National Science Foundation

OpenAlex ID: W1538816180

Cites: 37

Cited by: 99

Related to: 10