Return persistence and fund flows in the worst performing mutual funds
By: Jonathan B. Berk, Ian Tonks.
Contributors: Tonks, Ian.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 13042.; Working paper series (National Bureau of Economic Research) -- working paper no. 13042.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 25
Subjects: Mutual funds
Description: 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.
Notes: "April 2007"

Includes bibliographical references (p. 23-25).

Also available in PDF from the NBER world wide web site (www.nber.org).