Selling Winners, Holding Losers: Effect on Mutual Fund Performance and Flows

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dc.contributor.authorXu, Zhaojinen
dc.contributor.committeechairSingal, Vijayen
dc.contributor.committeememberKeown, Arthur J.en
dc.contributor.committeememberOvtchinnikov, Alexeien
dc.contributor.committeememberCliff, Michael T.en
dc.contributor.committeememberKadlec, Gregory B.en
dc.contributor.departmentFinance, Insurance, and Business Lawen
dc.date.accessioned2014-03-14T20:12:33Zen
dc.date.adate2007-06-07en
dc.date.available2014-03-14T20:12:33Zen
dc.date.issued2007-05-10en
dc.date.rdate2007-06-07en
dc.date.sdate2007-05-24en
dc.description.abstractIn this dissertation, we examine whether the disposition effect, the tendency to sell winners and hold losers, exists among U.S. equity mutual funds and how the disposition effect influences fund performance and particularly flows. We find that a significant fraction (32%) of all funds exhibit some degree of disposition behavior. These funds underperform funds that are not disposition prone by 4-6% per year. Moreover, we find that the disposition effect has a significant impact on future fund flows. Without controlling for performance, disposition-prone funds experience 2-3% less flows each quarter than other funds. The difference in flows is probably due to poor performance of such funds. However, even after controlling for performance and other factors that potentially influence flows, funds with a high disposition effect experience 0.7-2% less flows than funds without such behavior. Past research has found that funds with low tax overhang garner larger inflows. Though disposition-prone funds are likely to have a lower tax overhang because they sell their winners quickly, we find that fund flows to disposition-prone funds are smaller than flows to non-disposition oriented funds after controlling for tax overhang. These results suggest that performance and tax efficiency as well as tax overhang are all important to mutual fund investors.en
dc.description.degreePh. D.en
dc.identifier.otheretd-05242007-144846en
dc.identifier.sourceurlhttp://scholar.lib.vt.edu/theses/available/etd-05242007-144846/en
dc.identifier.urihttp://hdl.handle.net/10919/27878en
dc.publisherVirginia Techen
dc.relation.haspartETD_XU.pdfen
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectFund Flowsen
dc.subjectMutual Fundsen
dc.subjectDisposition Effecten
dc.subjectCapital Gainsen
dc.subjectTax Overhangen
dc.subjectFund Performanceen
dc.titleSelling Winners, Holding Losers: Effect on Mutual Fund Performance and Flowsen
dc.typeDissertationen
thesis.degree.disciplineFinance, Insurance, and Business Lawen
thesis.degree.grantorVirginia Polytechnic Institute and State Universityen
thesis.degree.leveldoctoralen
thesis.degree.namePh. D.en

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