Regulators often set value-at-risk (VaR) constraints to limit the portfolio risk of institutional investors. For some investors, notably pension funds, the VaR constraint is enforced over a horizon which is significantly shorter than the investment horizon of the investor. Our paper aims to...

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...