| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9275 |
| 来源ID | Working Paper 9275 |
| Mutual Fund Flows and Performance in Rational Markets | |
| Jonathan B. Berk; Richard C. Green | |
| 发表日期 | 2002-10-10 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | We develop a simple rational model of active portfolio management that provides a natural benchmark against which to evaluate observed relationship between returns and fund flows. We show that many effects widely regarded as anomalous are consistent with this simple explanation. In the model, investments with active managers do not outperform passive benchmarks because of the competitive market for capital provision, combined with decreasing returns to scale in active portfolio management. Consequently, past performance cannot be used to predict future returns, or to infer the average skill level of active managers. The lack of persistence in active manager returns does not imply that differential ability across managers is nonexistent or unrewarded, that gathering information about performance is socially wasteful, or that chasing performance is pointless. A strong relationship between past performance and the ow of funds exists in our model, indeed this is the market mechanism that ensures that no predictability in performance exists. Calibrating the model to the fund flows and survivorship rates, we find these features of the data are consistent with the vast majority (80%) of active managers having at least enough skill to make back their fees. |
| URL | https://www.nber.org/papers/w9275 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566888 |
| 推荐引用方式 GB/T 7714 | Jonathan B. Berk,Richard C. Green. Mutual Fund Flows and Performance in Rational Markets. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9275.pdf（524KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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