Analyzing cross sectional determinants of fund flows, this study finds evidence that investors' risk aversion is time-varying. In particular, the periods over which the increases in risk aversion are observed are associated with contemporaneously low market returns, suggesting that increases in...

Using data from surveys as well as as real transactions we analyze which and why investors choose funds with performance fees even though these funds may be more expensive. According to agency theory, performance fees could incentivize managers to achieve better returns, but they could also...

The returns of hedge fund investors depend not only on the returns of the funds they hold but also on the timing and magnitude of their capital flows in and out of these funds. We use dollar-weighted returns (a form of IRR) to assess the properties of actual investor returns on hedge funds and...

Using information on climate transition risks embedded in US equity mutual fund portfolios, we report evidence that mutual fund investors consider climate-related transition risk to be an undesirable fund feature and accordingly allocate more money to funds with lower climate-related transition...

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...

We study a regulation that increased mutual funds' risk salience through name change. Using daily fund flow data and several identification strategies, we find that requiring certain fixed income mutual funds to affix an exclamation mark ("!") to their names caused a statistically and...

To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk and return expectations, this paper explores portfolio reallocations among equity, bond, and money market mutual funds. As predicted by the literature on optimal portfolio...