Is Money Really 'Smart'? New Evidence on the Relation between Mutual Fund Flows, Manager Behavior, and Performance Persistence

摘要: Mutual fund returns strongly persist over multi-year periods - that is the central finding of this paper. Further, consumer and manager behavior both play a large role in explaining these long-term continuation patterns consumers invest heavily last-year's winning funds, managers winners inflows momentum stocks to continue outperform other funds for at least two years following ranking year. By contrast, losing appear reluctant sell their finance purchase new stocks, perhaps due disposition effect. Thus, continues separate from much longer period than indicated by prior studies. Even more surprising persistence not entirely explained we find strong evidence flow-related buying, especially among growth-oriented pushes up stock prices. Specifically, response persistent flows have beat size, book-to-market, benchmarks three percent per year four-year period. Cross-sectional regressions indicate abnormal are related inflows, but past performance thus, casting some doubt on findings talent picking stocks. Finally, style-adjusted net level, no persistence, consistent with results On balance, confirm money smart chasing managers, "copycat" strategy mimicking trades take advantage appears be smartest strategy.