<p><a rel="nofollow"></a>We show that positive flows to active mutual funds with high recent returns are partially reversed at longer horizons.&nbsp; This outcome is robust across a broad range of alternative specifications.&nbsp; The reversal is due to greater outflows associated with high prior returns, not reduced inflows.&nbsp; We test theories with potential to explain the reversal: investment lifecycles, tax loss selling, and a behavioral “disappointment” hypothesis based on investors’ overreaction to positive returns.&nbsp; While tax loss selling and short investor lifecycles can both contribute, the evidence supports a role for investor disappointment, whereby investors redeem when return performance fails to meet expectations.</p> <p><a rel="nofollow"></a><span><span></span></span></p>