Time-varying predictability in mutual fund returns

Vincent Glode, Burton Hollifield, Marcin Kacperczyk, and Shimon Kogan

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

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Year of publication:	2011 ; Last rev.: March 27, 2011
Authors:	Glode, Vincent ; Hollifield, Burton ; Kacperczyk, Marcin ; Kogan, Shimon
Publisher:	Philadelphia, Pa. : Wharton School, University of Pennsylvania
Subject:	Investmentfonds \| Investment Fund \| Kapitaleinkommen \| Capital income \| Kapitalflussrechnung \| Cash flow statement \| Anlageverhalten \| Behavioural finance \| Transaktionskosten \| Transaction costs \| Struktur-Verhalten-Ergebnis- Paradigma \| Structure-conduct-performance paradigm