Return Persistence and Fund Flows in the Worst Performing Mutual Funds /
Berk, Jonathan B.
Return Persistence and Fund Flows in the Worst Performing Mutual Funds / Jonathan B. Berk, Ian Tonks. - Cambridge, Mass. National Bureau of Economic Research 2007. - 1 online resource: illustrations (black and white); - NBER working paper series no. w13042 . - Working Paper Series (National Bureau of Economic Research) no. w13042. .
April 2007.
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.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.
Return Persistence and Fund Flows in the Worst Performing Mutual Funds / Jonathan B. Berk, Ian Tonks. - Cambridge, Mass. National Bureau of Economic Research 2007. - 1 online resource: illustrations (black and white); - NBER working paper series no. w13042 . - Working Paper Series (National Bureau of Economic Research) no. w13042. .
April 2007.
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.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.