Selling Winners, Holding Losers: Effect on Mutual Fund Performance and Flows
نویسندگان
چکیده
منابع مشابه
Truth in Mutual Fund Advertising : Evidence on Future Performance and Fund Flows
participants at the workshops at Tulane University and the annual Financial Management Association meetings, two anonymous referees and many of our colleagues for helpful comments at various stages of this research. We also thank Lipper Analytical Services, Inc. for providing data on monthly total net assets and returns, and thank Mark Carhart for data on factor returns to estimate four-factor ...
متن کاملDedicated REIT Mutual Fund Flows and REIT Performance
This study examines the effects of weekly and monthly capital flows into the dedicated REIT mutual fund sector on aggregate REIT returns and, simultaneously, the effects of industrylevel REIT returns on subsequent REIT mutual fund flows. The dynamic relation between REIT capital flows and returns is estimated using vector autoregression (VAR) techniques. Unlike static regression techniques, our...
متن کاملIndividual investor mutual fund flows
This paper studies the relation between individuals’ mutual fund flows and fund characteristics, establishing three key results. First, consistent with tax motivations, individual investors are reluctant to sell mutual funds that have appreciated in value and are willing to sell losing funds. Second, individuals pay attention to investment costs as redemption decisions are sensitive to both exp...
متن کاملTechnological Innovation: Winners and Losers∗
We analyze the effect of innovation on asset prices in a tractable, general equilibrium framework with heterogeneous households and firms. Innovation has a heterogenous impact on households and firms. Technological improvements embodied in new capital benefit workers, while displacing existing firms and their shareholders. This displacement process is uneven: newer generations of shareholders b...
متن کاملEvaluating Mutual Fund Performance
We study standard mutual fund performance measures, using simulated funds whose characteristics mimic actual funds. We find that performance measures used in previous mutual fund research have little ability to detect economically large magnitudes ~e.g., three percent per year! of abnormal fund performance, particularly if a fund’s style characteristics differ from those of the value-weighted m...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1108407