When assessing a fund manager's skill, sophisticated investors will consider all factors (priced and unpriced) that explain cross-sectional variation in fund performance. We investigate which factors investors attend to by analyzing mutual fund flows as a function of recent returns decomposed...

Retail order imbalance positively correlates with returns in the days following trades. However, in aggregate, retail investor trades lose money over these same periods. Why? 1) While order imbalance tests value or equally weight stocks, retail purchases are concentrated in stocks earning large...

We show that mutual fund managers' trading experiences bias their future repurchasing decisions. Specifically, a fund is 17% more likely to repurchase a stock when it previously sold the stock for a gain rather than for a loss. Fund managers still prefer to repurchase stocks they sold for a gain...