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Performance information dissemination in the mutual fund industry

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  • Goriaev, Alexei
  • Nijman, Theo E.
  • Werker, Bas J.M.

Abstract

This paper studies the dissemination of performance information in the mutual fund industry. We document a hump-shaped lag pattern for the reaction of mutual fund flows to past performance, i.e., we find that very recent performance is less important than performance several months ago. We attribute this pattern to the presence of less sophisticated investors that update performance information only infrequently. In the 1990s the effect is observed for all funds, but is especially pronounced for highly marketed funds. For the 2000s, we find a substantial increase in the overall probability of investors timely updating mutual fund performance information. As a result, the hump-shaped flow-performance lag pattern disappeared for all but the highly marketed funds.

Suggested Citation

  • Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J.M., 2008. "Performance information dissemination in the mutual fund industry," Journal of Financial Markets, Elsevier, vol. 11(2), pages 144-159, May.
  • Handle: RePEc:eee:finmar:v:11:y:2008:i:2:p:144-159
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    Cited by:

    1. Martí Ballester, Carmen Pilar, 2013. "Determinants of equity pension plan flows," Economics Discussion Papers 2013-15, Kiel Institute for the World Economy (IfW).
    2. Carmen Pilar Martí Ballester, 2014. "Determinants of equity pension plan flows," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 125-148, June.
    3. Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk Exposure and Performance," Discussion Paper 2007-013, Tilburg University, Tilburg Law and Economic Center.
    4. Bessler, Wolfgang & Blake, David & Lückoff, Peter & Tonks, Ian, 2010. "Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes," MPRA Paper 34185, University Library of Munich, Germany.
    5. Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk and Performance," Discussion Paper 2007-31, Tilburg University, Center for Economic Research.
    6. Carlos Alves & Victor Mendes, 2011. "Does performance explain mutual fund flows in small markets? The case of Portugal," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 10(2), pages 129-147, August.
    7. Sirnes, Espen, 2011. "Why falling information costs may increase demand for index funds," Review of Financial Economics, Elsevier, vol. 20(1), pages 37-47, January.

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