Goriaev, Alexei; Nijman, Theo E.; Werker, Bas J.M. - In: Journal of Financial Markets 11 (2008) 2, pp. 144-159
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...