Wedemonstratethatwecansatisfy
bothcriteriaifweimplementthemethodusingmutual
fund data.Undertheassumptionthataparticularasset
pricing modelholds,weusethemaininsightfrom Berkand
Green (2004) to showthatpositive(negative)abnormal
returnrealizationsinamutualfundinvestmentmustbe
associatedwithpositivenetpresentvaluebuying(selling)
opportunities. Wethenmeasureinvestorreactionstothese
opportunities byobservingthesubsequentcapital flowinto
(out of)mutualfunds.