What Do Fund Flows Reveal about Asset Pricing Models and Investor Sophistication?

• 成果类型: Article
• 署名作者: Jegadeesh, Narasimhan; Mangipudi, Chandra Sekhar
• 署名单位: Emory University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa045
• 发表日期: 2021
• 页码: 108
• 关键词: cross-section; Mutual funds; performance; persistence; consumer

摘要

Recent evidence indicates that market model alphas are stronger predictors of mutual fund flows than alphas with other models. Some recent papers have interpreted this evidence to mean that CAPM is the best asset pricing model, but some others have interpreted it as evidence against investor sophistication. We evaluate the merits of these mutually exclusive interpretations. We show that no tenable inference about the validity of any asset pricing model can be drawn from this evidence. Rejecting the investor sophistication hypothesis is tenable, but the appropriate benchmark to judge sophistication is different from that used in this literature.