Self-Declared benchmarks and fund manager intent: Cheating or competing?

• 成果类型: Article
• 署名作者: Chen, Huaizhi; Evans, Richard; Sun, Yang
• 署名单位: University of Notre Dame; University of Virginia; Brandeis University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103975
• 发表日期: 2025
• 关键词: Mutual fund benchmarks; relative performance evaluation; Fund peer groups; Investor learning; monitoring; Product market competition

摘要

Using a panel of self-declared benchmarks, we examine funds' use of mismatched benchmarks over time. Mismatching is high at the beginning of our sample (45 % of TNA in 2008), consistent with prior studies, but declines significantly over time (27 % in 2020), driven by existing specialized funds changing benchmarks to match their style. Market forces including investor learning, institutional governance, market competition, and product positioning all play a role in benchmark correction decisions. For funds with difficult to categorize investment strategies, mismatched benchmarks are less associated with performance bias. Our study highlights the value of market solutions in aligning manager-investor interests.