Past Performance is Indicative of Future Beliefs

@article{Maymin2011PastPI,
  title={Past Performance is Indicative of Future Beliefs},
  author={Philip Z. Maymin and Gregg S. Fisher},
  journal={Household Finance eJournal},
  year={2011}
}
The performance of the average investor in an asset class lags the average performance of the asset class itself by an average of one percent per year over the past fifteen years, based on net investor mutual fund cash flows. We present a model in which a representative behavioral investor believes next year's returns will exactly match last year's returns and show that this leads to price adjustments on what would otherwise be random walk securities that effectively lower the future return of… 
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