Which Factors Matter to Investors? Evidence from Mutual Fund Flows

• 成果类型: Article
• 署名作者: Barber, Brad M.; Huang, Xing; Odean, Terrance
• 署名单位: University of California System; University of California Davis; Michigan State University; Michigan State University's Broad College of Business; University of California System; University of California Berkeley
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw054
• 发表日期: 2016
• 页码: 2600
• 关键词: PERFORMANCE EVALUATION; industry; returns; style; RISK; incentives; MARKETS; smart; money

摘要

When assessing a fund manager's skill, sophisticated investors will consider all factors (priced and unpriced) that explain cross-sectional variation in fund performance. We investigate which factors investors attend to by analyzing mutual fund flows as a function of recent returns decomposed into alpha and factor-related returns. Surprisingly, investors attend most to market risk (beta) when evaluating funds and treat returns attributable to size, value, momentum, and industry factors as alpha. Using proxies for investor sophistication (wealth, distribution channels, and periods of high investor sentiment), we find that more sophisticated investors use more sophisticated benchmarks when evaluating fund performance. (JEL G11, G12, G23)