AFA2019会议论文（32）：Mutual Fund Flows

AFA2019会议论文（32）：Mutual Fund Flows

金融经济学 昨天

1、What Do Fund Flows Reveal about Asset Pricing Models and Investor Sophistication?

Narasimhan Jegadeesh, Emory University
Chandra S. Mangipudi, Emory University

Abstract

Recent papers use the relative strength of the relation between fund flows and alphas with respect to various multifactor models to draw inferences about the best asset pricing model and about investor sophistication. This paper analytically shows that such inferences are tenable only under a number of additional assumptions. The results of our simulations and empirical tests indicate that such comparisons are not reliable tests of asset pricing models. We also find that parsimonious factor models better predict future alphas than models with additional factors, and discuss its implications for evaluating investor sophistication. 

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=407

2、How Fast Do Investors Learn? Asset Management Investors and Bayesian Learning

Chris Schwarz, University of California, Irvine
Zheng Sun, University of California, Irvine

Abstract

We study how fast investors learn about manager skills by examining the speed at which their disagreement converges. Using a novel measure of disagreement, we find that hedge fund investors learn as fast as suggested by Bayes’ rule. However, we also find mutual fund investors learn much more slowly than Bayes’ rule. Mutual fund investors’ slow learning is not caused by investors potentially paying attention to different performance measures, institutional frictions such as loads, or lack of sophistication, but is likely due to a low payoff from learning. Our results suggest learning speed depends on the motivation of financial participants.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1613

3、Marketing Mutual Funds

Nikolai Roussanov, University of Pennsylvania
Hongxun Ruan, Peking University
Yanhao Wei, University of Southern California

Abstract

Marketing and distribution expenses are responsible for about a third of the cost of active management in the mutual fund industry. We develop and estimate a structural model of mutual fund marketing with learning about unobserved skill and costly investor search. Our estimates suggest that marketing is nearly as important as performance and fees for determining fund size. Eliminating marketing substantially improves welfare, as capital shifts towards cheaper funds and competition decreases fees. Average alpha increases as active funds shrink, and capital allocation becomes more closely aligned with manager skill net of fees. Declining investor search costs over time imply a reduction in marketing expenses and management fees as well as a shift towards passive investing, as observed empirically.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=2083

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