Investor Attrition and Fund Flows in Mutual Funds
研究了业绩差的股票共同基金在资产流失后，资金流入和流出对业绩的敏感性降低，且机构基金中投资者业绩敏感性差异小，流失影响更弱。
We explore the properties of equity mutual funds that experience a loss of assets after poor performance. We document that both inflows and outflows are less sensitive to performance, because performance-sensitive investors leave or decide not to invest after bad performance. Consistent with the idea that attrition measures the sorting of performance-sensitive investors, we find that attrition has less of an impact on the fund’s flow–performance sensitivity for institutional funds where there is less dispersion in investor performance sensitivity. Also, attrition has no effect on the flow–performance sensitivity when attrition arises after good performance or investors invest for nonperformance reasons.