| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15038 |
| 来源ID | Working Paper 15038 |
| Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry | |
| Vincent Glode; Burton Hollifield; Marcin Kacperczyk; Shimon Kogan | |
| 发表日期 | 2009-06-04 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We provide new empirical evidence suggesting that the marginal investor in mutual funds behaves differently across market conditions. If the marginal investor allocates capital across mutual funds rationally, then the relative performance of funds should be unpredictable. We find however that relative fund performance is predictable after periods of high market returns but not after periods of low market returns. The asymmetric predictability in performance we document cannot be explained by time-varying differences in transaction costs or style exposures between funds, or by sample selection. Consistent with the hypothesis that the asymmetric predictability in performance may be driven by unsophisticated investors' mistakes when allocating capital, we document that performance predictability is more pronounced for funds that cater to retail investors than for funds that cater to institutional investors. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w15038 |
| 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/572714 |
| 推荐引用方式 GB/T 7714 | Vincent Glode,Burton Hollifield,Marcin Kacperczyk,et al. Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry. 2009. |
| 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 | ||
| w15038.pdf（380KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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