Models or Stars: The Role of Asset Pricing Models and Heuristics in Investor Risk Adjustment
成果类型：
Article
署名作者：
Evans, Richard B.; Sun, Yang
署名单位：
University of Virginia; Brandeis University
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/hhaa043
发表日期：
2021
页码：
67
关键词：
performance
BROKERS
search
COSTS
摘要：
We examine the role of factor models and simple performance heuristics in investor decision-making using Morningstar's 2002 rating methodology change. Before the change, flows strongly correlated with CAPM alphas. After, when funds are ranked by size and book-to-market groups, flows become more sensitive to 3-factor alphas (FF3). Flows to a matched institutional sample (same managers/strategies) follow FF3 before and after the change but are unrelated to the CAPM. Placebo tests with sector funds and other factor loadings show no effects. Our results imply that improvements in simple performance heuristics can result in more sophisticated risk adjustment by retail investors.
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