Participation Costs and the Sensitivity of Fund Flows to Past Performance
构建理性模型，说明投资者参与成本如何影响基金流量对历史业绩的敏感性，并用基金特征作为参与成本降低的代理变量，实证支持模型对非对称流量-业绩关系的预测。
ABSTRACT We present a simple rational model to highlight the effect of investors' participation costs on the response of mutual fund flows to past fund performance. By incorporating participation costs into a model in which investors learn about managers' ability from past returns, we show that mutual funds with lower participation costs have a higher flow sensitivity to medium performance and a lower flow sensitivity to high performance than their higher‐cost peers. Using various fund characteristics as proxies for the reduction in participation costs, we provide empirical evidence supporting the model's implications for the asymmetric flow‐performance relationship.