Mutual fund flows and performance in rational markets

被引:998
作者
Berk, JB [1 ]
Green, RC
机构
[1] Univ Calif Berkeley, Berkeley, CA 94720 USA
[2] Natl Bur Econ Res, Cambridge, MA 02138 USA
[3] Carnegie Mellon Univ, Pittsburgh, PA 15213 USA
关键词
D O I
10.1086/424739
中图分类号
F [经济];
学科分类号
02 ;
摘要
We derive a parsimonious rational model of active portfolio management that reproduces many regularities widely regarded as anomalous. Fund flows rationally respond to past performance in the model even though performance is not persistent and investments with active managers do not outperform passive benchmarks on average. The lack of persistence in returns does not imply that differential ability across managers is nonexistent or unrewarded or that gathering information about performance is socially wasteful. The model can quantitatively reproduce many salient features in the data. The flow-performance relationship is consistent with high average levels of skills and considerable heterogeneity across managers.
引用
收藏
页码:1269 / 1295
页数:27
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