What Explains Mutual Fund Performance Persistence? International Evidence (original) (raw)

The flow-performance relationship around the world

Journal of Banking & Finance, 2012

We use a new dataset to study how mutual fund flows depend on past performance across 28 countries. We show that there are marked differences in the flow-performance relationship across countries, suggesting that US findings concerning its shape do not apply universally. We find that mutual fund investors sell losers more and buy winners less in more developed countries. This is because investors in more developed countries are more sophisticated and face lower costs of participating in the mutual fund industry. Higher ...

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On the industry concentration of actively managed equity mutual funds Cover Page

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Investor Clientele and Style Changing Behavior in Mutual Funds Cover Page

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Changing Names with Style: Mutual Fund Name Changes and Their Effects on Fund Flows Cover Page

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The determinants of mutual fund performance: A cross-country study Cover Page

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Good Stewards, Cheap Talkers, or Family Men? The Impact of Mutual Fund Closures on Fund Managers, Flows, Fees, and Performance Cover Page

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Why Does Mutual Fund Performance Not Persist? The Impact and Interaction of Fund Flows and Manager Changes Cover Page

Why is Persistent Mutual Fund Performance so Difficult to Achieve? The Impact of Management Turnover and Fund Flows

2008

The objective of this research is to investigate the impact that fund flows and management turnover have on the investment performance of actively managed equity mutual funds over time. Both fund flows and manager turnover have been identified in the literature as relevant factors that can significantly affect performance persistence. We analyze which of these factors has a stronger impact and how they interact. Using a sample of 3,948 U.S. equity mutual funds for the period from 1992 to 2007, our results support the notion that both mechanisms impact performance predictability over both the cross-section and time. The future performance of top past performing funds strongly suffers from both the departure of skilled fund managers and even more from excessive inflows. The future performance of past loser funds benefits from a replacement of their unskilled or unlucky managers but does not benefit from cash outflows to the same degree. Furthermore, we provide empirical evidence that ...

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A statistically robust decomposition of mutual fund performance q Cover Page

Window dressing in mutual funds

2011

This paper introduces two measures to investigate potential window-dressing behavior among mutual fund managers. We show that unskilled managers that perform poorly are more likely to window dress by strategically purchasing winner stocks and selling loser stocks near quarter ends. Further, funds with higher expense ratios and greater portfolio turnover are associated with more window dressing. We also find that

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