Investors Do Respond to Poor Mutual Fund Performance: Evidence from Inflows and Outflows
研究美国主动管理型共同基金的大样本数据，发现投资者会根据业绩调整资金流入和流出，且对糟糕业绩的反应更强烈。
Abstract We examine the relation between mutual fund performance and gross flows for a large sample of actively managed U.S. mutual funds. Unlike previous studies that have only examined periods of generally increasing net flows, our sample includes periods of both increasing and decreasing net flows. We find that outflows are related to performance, with investors withdrawing money from poor performers. We also find that outflows and inflows respond asymmetrically to performance, outflows increase more aggressively following poor performance, and inflows increase more aggressively following good performance. Additionally, we find a symmetric performance net flow relation.