Mutual Fund Flows at Long Horizons

• 成果类型: Article; Early Access
• 署名作者: Bessembinder, Hendrik; Chen, Shuaiyu; Cooper, Michael J.; Xue, Jinming; Zhang, Feng
• 署名单位: Arizona State University; Arizona State University-Tempe; University of Virginia; Utah System of Higher Education; University of Utah; Southern Methodist University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag059
• 发表日期: 2026-07-12
• 关键词: G10; G23; returns; performance; RISK; scale; skill

摘要

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.