How Fast Do Investors Learn? Asset Management Investors and Bayesian Learning

• 成果类型: Article
• 署名作者: Schwarz, Christopher; Sun, Zheng
• 署名单位: University of California System; University of California Irvine
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac086
• 发表日期: 2023
• 页码: 2397
• 关键词: MUTUAL FUND FLOWS; cross-section; Hedge funds; performance; persistence; biases

摘要

We study the speed with which investors learn about managers' skills by examining how quickly investor and managers' beliefs converge. After showing our measure proxies for the change in the dispersion of beliefs, we find that hedge fund investors learn as fast as suggested by Bayes' rule. However, we find mutual fund investors learn more slowly than suggested by Bayes' rule. Mutual fund investors' slow learning is not due to the use of different performance measures, institutional frictions, or lack of sophistication, but could be due to a low payoff from learning. Our results indicate learning speed depends on financial participants' incentives.