| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13111 |
| DP13111 Idea Sharing and the Performance of Mutual Funds | |
| Julien Cujean | |
| 发表日期 | 2018-08-12 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | I develop an equilibrium model to explain why few mutual fund managers consistently outperform, even though many have strong informational advantages. The key ingredient is that managers obtain investment ideas through idea sharing. Idea sharing improves statistical significance of alpha through increased price informativeness. But it also causes better informed managers to take larger positions, which makes their alpha noisier although a significant fraction of managers build strong informational advantages, statistical significance and persistence of alpha concentrate in underperforming funds. I argue that in-house development of ideas cannot explain these facts. |
| 主题 | Financial Economics |
| 关键词 | Idea sharing Rational-expectations equilibrium Performance |
| URL | https://cepr.org/publications/dp13111 |
| 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/541914 |
| 推荐引用方式 GB/T 7714 | Julien Cujean. DP13111 Idea Sharing and the Performance of Mutual Funds. 2018. |
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