How Investors Interpret Past Fund Returns

By Anthony W. Lynch, David K. Musto. 2003

424 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8b5200beba7dc0281518700c6fbc33978194aeb5

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Citations in the corpus

Mutual Fund Attributes and Investor Behavior (2007, background): “…a long list of anomalies that some fund managers may be able to exploit on a consistent basis to generate superior returns.1 Ippolito (1992), Lynch and Musto (2003), and Berk and Green (2004), among others, interpret the flow-performance relation as a reflection of investors 1For examples…”
Are There Disadvantaged Clienteles in Mutual Funds? (2010, result): “The results are more in line with Lynch & Musto (2003), who argue that investors do not respond to poor performance, because they expect the management strategy or the management team to change.”
Participation Costs and the Sensitivity of Fund Flows to Past Performance (2007, neutral): “Lynch and Musto (2003) argue that investment companies can exercise an option to abandon poorly performing strategies and/or fire bad managers.”
Chapter 21 - Household Finance: An Emerging Field∗ (2013, neutral): “Roussanov (2010) adds another channel through which preferences might affect diversification.”
Yet Another Puzzle? The Relation between Price and Performance in the Mutual Fund Industry (2007, neutral): “Lack of sensitivity of flows to past performance in the low performance range is also consistent with the existence of unsophisticated or disadvantaged investors (although see Lynch and Musto, 2003, for an alternative interpretation of this lack of sensitivity consistent with investor rationality).”
On Mutual Fund Investment Styles (2002, neutral): “26 Lynch and Musto (2000) also find evidence that funds with poor past performance are more likely to switch styles.”
Changing Names with Style: Mutual Fund Name Changes and Their Effects on Fund Flows (2005, background): “…is nonlinear in that investors direct their investments to funds that perform well in the recent past but fail to direct investments away from poorly performing funds (Ippolito (1992), Gruber (1996), Carhart (1997), Goetzmann and Peles (1997), Sirri and Tufano (1998), and Lynch and Musto (2003)).”
Optimal Asset Allocation and Risk Shifting in Money Management (2007, background): “Absent implicit incentives, the manager in our setting maintains a constant risk exposure, independent of her performance relative to the benchmark (Merton (1971)).”
Performance Evaluation and Self-Designated Benchmark Indexes in the Mutual Fund Industry (2009, background): “In addition to the papers cited above, Ippolito (1992) and Lynch and Musto (2003) are prominent papers in this literature.”
Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006, background): “Persistence is also an interesting issue in light of the paper of Lynch and Musto (2002), which predicts persistence among winning funds, but not among losers; and the paper of Berk and Green (2004), which predicts negligible persistence among winning funds.”