| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3282 |
| DP3282 Should Smart Investors Buy Funds with High Returns in the Past? | |
| Harald Uhlig; Frédéric Palomino | |
| 发表日期 | 2002-03-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Newspapers and weekly magazines catering to the investing crowd often rank funds according to the returns generated in the past. Aside from satisfying sheer curiosity, these numbers are probably also the basis on which investors pick a fund to invest in. In this article, we fully characterize the equilibrium in a game between a mutual fund manager of unknown ability who controls the riskiness of his portfolio and investors who only observe realized returns. We derive conditions under which (i) investors invest in the fund if the realized return falls within some interval, ie., is neither too low nor too high, (ii) an informed fund manager picks a portfolio of minimal riskiness, (iii) an uninformed mutual fund manager will pick a portfolio with higher risk, ?gambling? on a lucky outcome and (iv), when the fee structure is endogenous, both types of manager choose the same fraction-of-fund fee structure. Our results are consistent with empirical evidence about the lack of persistence of top performance, and about the very wide use of fraction-of-fund fee structure among mutual funds. |
| 主题 | Financial Economics |
| 关键词 | Actively managed funds Index funds Fund-picking strategy Fraction-of-fund fees |
| URL | https://cepr.org/publications/dp3282 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532307 |
| 推荐引用方式 GB/T 7714 | Harald Uhlig,Frédéric Palomino. DP3282 Should Smart Investors Buy Funds with High Returns in the Past?. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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