What Do Mutual Fund Investors Really Care About?

• 成果类型: Article
• 署名作者: Ben-David, Itzhak; Li, Jiacui; Rossi, Andrea; Song, Yang
• 署名单位: University System of Ohio; Ohio State University; National Bureau of Economic Research; Utah System of Higher Education; University of Utah; University of Arizona; University of Washington; University of Washington Seattle
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab081
• 发表日期: 2022
• 页码: 1723
• 关键词: STOCK-PICKING TALENT; EMPIRICAL DECOMPOSITION; MORNINGSTAR RATINGS; transactions costs; financial literacy; BENCHMARK INDEXES; DUMB MONEY; one price; performance; FLOWS

摘要

We show that mutual fund investors rely on simple signals and likely do not engage in sophisticated learning about managers' alpha as widely believed. Simplistic performance chasing best explains aggregate flows to the mutual fund space and flows across funds. These results hold for both actively managed and passive index funds. Empirical patterns commonly interpreted as reflecting learning about managerial skill also appear in falsification tests and are mechanical. Our results are consistent with the view that, on average, households are homo sapiens with limited financial sophistication rather than hyperrational alpha-maximizing agents, as often assumed in the literature.