Mutual Fund Flows and Investor Returns: An Empirical Examination of Fund Investor Timing Ability

By Geoffrey C. Friesen, Travis R. A. Sapp. 2007

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Psychology-based Models of Asset Prices and Trading Volume (2018, background): “The data suggest that some investors have poor market timing: they increase their exposure to the stock market following good returns, just when, perhaps because it is overvalued, the market has a low expected return; similarly, they decrease their exposure to the stock market following low returns,”
Measuring Investor Sentiment with Mutual Fund Flows (2012, unknown): “In the same spirit, Friesen and Sapp (2007) find that, at the individual fund level, the dollar-weighted average return is lower than the geometric average return.6,7 A possible explanation for these findings is that as inflows and outflows create price pressure (see Coval and Stafford, 2007;…”
Higher Risk, Lower Returns: What Hedge Fund Investors Really Earn (2011, unknown): “At the extreme, Griffin and Xu (2009) and Amin and Kat (2003) document no alpha at all, albeit in relatively small samples.”
Expectations of Returns and Expected Returns (2014, unknown): “19 See also Friesen and Sapp (2007), who find that fund flows lower investors’ returns on the stock market.”