<link rid="b16">Gruber (1996)</link> and <link rid="b35">Zheng (1999)</link> report that investors channel money toward mutual funds that subsequently perform well. <link rid="b31">Sapp and Tiwari (2004)</link> find that this "smart money" effect no longer holds after controlling for stock return momentum. While prior work uses quarterly U.S. data, we employ a...