Fund Flows and Market States

• 成果类型: Article
• 署名作者: Franzoni, Francesco; Schmalz, Martin C.
• 署名单位: Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of Michigan System; University of Michigan
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx015
• 发表日期: 2017
• 页码: 2621
• 关键词: mutual funds; stock-market; performance; returns; RISK; benchmarks; industry; MANAGER; share

摘要

This paper establishes a new empirical fact: Mutual funds' flow-performance sensitivity is a hump-shaped function of aggregate risk-factor realizations. Explanations based on extant theories can explain only a fraction of the pattern. We thus develop a new parsimonious model. It assumes Bayesian investors who are uncertain about the degree to which fund returns are exposed to systematic risk. Fund performance is then less informative about manager skill when factor realizations are larger in absolute value. The data also support the out-of-sample prediction that the hump shape is more pronounced for funds with more uncertain risk loadings.