Mutual Fund Flows at Long Horizons
研究发现，近期高回报的主动型共同基金的正向资金流入在长期会部分逆转，主要源于高回报后的更大资金流出，而非流入减少，并支持投资者失望假说。
Abstract We show that positive flows to active mutual funds with high recent returns partially reverse at longer horizons. This outcome is robust across a broad range of alternative specifications. Reversal occurs from greater outflows associated with high prior returns, not reduced inflows. We test theories to explain the reversal: investment life cycles, tax loss selling, and a behavioral “disappointment” hypothesis based on investors’ overreaction to positive returns. While both tax loss selling and short investor life cycles can contribute, the evidence supports a role for investor disappointment, whereby investors redeem their capital when return performance fails to meet expectations.