| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9392 |
| 来源ID | Working Paper 9392 |
| Mutual Fund Performance with Learning Across Funds | |
| Christopher S. Jones; Jay Shanken | |
| 发表日期 | 2002-12-16 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | This paper is based on the premise that knowledge about the alphas of one set of funds will influence an investor's beliefs about other funds. This will be true insofar as an investor's expectation about the performance of a fund is partly a belief about the abilities of mutual fund managers as a group and, more generally, a belief about the degree to which financial markets are efficient. We develop a simple framework for incorporating this prior dependence' and find that it can have a substantial impact on the cross-section of posterior beliefs about fund performance as well as asset allocation. Under independence, the maximum posterior mean alpha increases without bound as the number of funds increases and 'extremely large' estimates are randomly observed. This is true even when fund managers have no skill. In contrast, with prior dependence, investors aggregate information across funds to form a general belief about the potential for abnormal performance. Each fund's alpha estimate is shrunk toward the aggregate estimate, mitigating extreme views. An additional implication is that restricting the estimation to surviving funds, a common practice in this literature, imparts an upward bias to the average fund alpha. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w9392 |
| 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/567011 |
| 推荐引用方式 GB/T 7714 | Christopher S. Jones,Jay Shanken. Mutual Fund Performance with Learning Across Funds. 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 | ||
| w9392.pdf（722KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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