Unobserved Actions of Mutual Funds

• 成果类型: Article
• 署名作者: Kacperczyk, Marcin; Sialm, Clemens; Zheng, Lu
• 署名单位: University of Texas System; University of Texas Austin; University of British Columbia; National Bureau of Economic Research; University of California System; University of California Irvine
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhl041
• 发表日期: 2008
• 页码: 2379
• 关键词: PERFORMANCE-MEASUREMENT; transactions costs; persistence; RISK; liquidity; returns; FLOWS; SHAREHOLDERS; INFORMATION; strategies

摘要

Despite extensive disclosure requirements, mutual fund investors do not observe all actions of fund managers. We estimate the impact of unobserved actions on fund returns using the return gap-the difference between the reported fund return and the return on a portfolio that invests in the previously disclosed fund holdings. We document that unobserved actions of some funds persistently create value, while such actions of other funds destroy value. Our main result shows that the return gap predicts fund performance.