Information and investment under uncertainty

•Investment decisions depend both on return and non-return information.•Availability of non-return information affects the flow-return relationship.•Non-return information affects investors' participation decisions.•Fund managers release all non-return information when releasing is not costly.•Fund managers release only good non-return information when releasing is costly.

In a model of mutual fund investor learning about managerial ability, we investigate how investment decisions depend on both past returns and non-return information. We show that non-return information affects investors' reliance on past returns as well as their decision to participate. Our results have important consequences for the relationship between flows of money and past fund performance.