Learning about Mutual Fund Managers
Publication in refereed journal


香港中文大学研究人员 ( 现职)

蔡达铭教授 (金融学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1111/jofi.12405

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL

其它资讯

摘要We study capital allocations to managers with two mutual funds, and show that investors learn about managers from their performance records. Flows into a fund are predicted by the manager's performance in his other fund, especially when he outperforms and when signals from the other fund are more useful. In equilibrium, capital should be allocated such that there is no cross-fund predictability. However, we find positive predictability, particularly among underperforming funds. Our results are consistent with incomplete learning: while investors move capital in the right direction, they do not withdraw enough capital when the manager underperforms in his other fund.

着者Choi D, Kahraman B, Mukherjee A
期刊名称JOURNAL OF FINANCE
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/016
月份12
日期1
卷号71
期次6
出版社WILEY-BLACKWELL
页次28http://aims.cuhk.edu.hk/converis/portal/Publication/09 - 286http://aims.cuhk.edu.hk/converis/portal/Publication/0
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/022-1http://aims.cuhk.edu.hk/converis/portal/Publication/082
电子国际标準期刊号154http://aims.cuhk.edu.hk/converis/portal/Publication/0-6261
语言美式英语

关键词Hedge Funds, Transactions Costs, Portfolio Choice, Stock Returns, Index Funds, Performance, Flows, Information, Liquidity, Risk
Web of Science 学科类别Business, Finance;Economics;Business & Economics