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Is the flow-performance relationship really convex? - The impact of data treatment and model specification

Schiller, Alexander ; Woltering, René-Ojas ; Sebastian, Steffen P.



Abstract

This paper challenges the convexity of the flow-performance relationship, according to which investors strongly chase top-performing funds, while fund flows exhibit little to no sensitivity to past performance within the segment of poorly performing funds. Our results suggest that the flow-performance relationship is not convex, but rather linear. In contrast to prior studies, we use reported ...

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