Mutual Fund Competition, Managerial Skill, and Alpha Persistence

• 成果类型: Article
• 署名作者: Hoberg, Gerard; Kumar, Nitin; Prabhala, Nagpurnanand
• 署名单位: University of Southern California; Indian School of Business (ISB); University System of Maryland; University of Maryland College Park
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx127
• 发表日期: 2018
• 页码: 1896
• 关键词: product differentiation; performance; FLOWS; liquidity; stocks; COSTS; style; price; RISK; size

摘要

What economic forces limit mutual fund managers from generating consistent outperformance? We propose and test the hypothesis that buy-side competition from other funds matters. We make three contributions. First, we propose new style-based spatial methods to identify the customized rivals of each fund. Second, we construct dynamic, fund-specific measures of competition and generate measures of skill as a fund's outperformance relative to its customized peers. Third, and finally, we show that funds outperforming their customized rivals generate future alpha when they face less competition. These results are economically significant and last for over four quarters.