We develop a new methodology that allows conditional performance to be a function of information available at the start of the performance period but does not make assumptions about the behavior of the conditional betas. We use econometric techniques developed by Lynch and Wachter (2011) that...

Using fund raw return as a proxy for unsophisticated flows, I find that future fund performance increases in alpha and decreases in flow. I show that funds holding stocks which, in aggregate, have been sold by funds with low flows do better in the future. Such stocks have had their prices pushed...