Abstract

http://ssrn.com/abstract=1364351
 
 

References (36)



 
 

Citations (9)



 


 



Time-Varying Predictability in Mutual Fund Returns


Vincent Glode


University of Pennsylvania - The Wharton School

Burton Hollifield


Carnegie Mellon University - David A. Tepper School of Business

Marcin T. Kacperczyk


Imperial College London - Accounting, Finance, and Macroeconomics; National Bureau of Economic Research (NBER)

Shimon Kogan


University of Texas at Austin

January 13, 2012


Abstract:     
We provide novel evidence that mutual fund returns are predictable after periods of high market returns but not after periods of low market returns. The asymmetric conditional predictability in relative performance cannot be fully explained by time-varying differences in transaction costs, in style exposures, or in survival probabilities of funds. Performance predictability is more pronounced for funds catering to retail investors than for funds catering to institutional investors, suggesting that unsophisticated investors make systematic mistakes in their capital allocation decisions.

Number of Pages in PDF File: 43

Keywords: Mutual Funds, Flows, Investor Rationality, Market Conditions

JEL Classification: G23, G11, G14

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Date posted: March 21, 2009 ; Last revised: January 14, 2012

Suggested Citation

Glode, Vincent and Hollifield, Burton and Kacperczyk, Marcin T. and Kogan, Shimon, Time-Varying Predictability in Mutual Fund Returns (January 13, 2012). Available at SSRN: http://ssrn.com/abstract=1364351 or http://dx.doi.org/10.2139/ssrn.1364351

Contact Information

Vincent Glode
University of Pennsylvania - The Wharton School ( email )
3641 Locust Walk
Philadelphia, PA 19104-6365
United States
Burton Hollifield (Contact Author)
Carnegie Mellon University - David A. Tepper School of Business ( email )
5000 Forbes Avenue
Pittsburgh, PA 15213-3890
United States
(412) 268-6505 (Phone)
(412) 268-6837 (Fax)
Marcin T. Kacperczyk
Imperial College London - Accounting, Finance, and Macroeconomics ( email )
South Kensington campus
London SW7 2AZ
United Kingdom
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Shimon Kogan
University of Texas at Austin ( email )
Austin, TX 78712
United States
512-232-6839 (Phone)
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