Precision about manager skill, mutual fund flows, and performance persistence

被引：5

作者：

Jeon, Hyunglae ^{[1
]}

Kang, Jangkoo ^{[2
]}

Lee, Changjun ^{[3
]}

机构：

[1] Samsung Asset Management, Seoul, South Korea

[2] Korea Adv Inst Sci & Technol, Coll Business, Seoul, South Korea

[3] Hankuk Univ Foreign Studies, Coll Business, Seoul, South Korea

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2017年 / 40卷

关键词：

Mutual fund flows; Flow-performance relationship; Precision about manager skill; Investor behavior; PORTFOLIO PERFORMANCE; COSTLY INFORMATION; RISK; BENCHMARKS; EFFICIENCY; INDUSTRY;

D O I：

10.1016/j.najef.2017.03.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Constructing a measure for imprecision about manager skill, IMP, by standard deviation of multiple performance-based signals, we examine the role of IMP in flow-performance relationship. We find that future fund flows respond more (less) strongly to past performance measured with high (low) precision. Our finding is robust to the inclusion of control variables that are known to affect future fund flows. In addition, short-term performance persistence is observed among funds with lower IMP, implying that our IMP helps identify funds with performance persistence. Overall, our findings indicate that IMP plays a critical role in understanding the cross-section of future flows. (C) 2017 Elsevier Inc. All rights reserved.

引用

页码：222 / 237

页数：16

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