| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15548 |
| DP15548 Expectations of Active Mutual Fund Performance | |
| Magnus Dahlquist; Markus Ibert; Felix Wilke | |
| 发表日期 | 2020-12-11 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We recover a forward-looking distribution of expected abnormal returns (alphas) for active equity mutual funds from analyst ratings. Professional analysts believe that alphas are dispersed, that the average fund will underperform, and that the largest funds will outperform. We estimate a rational expectations learning model of fund performance and confront the model-implied expectations based on fund size, perceived skill, and fees with analysts' expectations. Analysts and the rational learner respond similarly to changes in perceived skill and fees, but in contrast to the rational learner, analysts do not believe in a negative impact of fund size on fund returns. The absence of such decreasing returns to scale in analysts' expectations and the presence thereof in actual fund returns make it difficult to reconcile analysts' expectations with rational expectations, but can help explain the size of the industry together with its poor performance. |
| 主题 | Financial Economics |
| 关键词 | Alpha Expectation formation Mutual funds |
| URL | https://cepr.org/publications/dp15548 |
| 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/544552 |
| 推荐引用方式 GB/T 7714 | Magnus Dahlquist,Markus Ibert,Felix Wilke. DP15548 Expectations of Active Mutual Fund Performance. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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