Idea sharing and the performance of mutual funds

• 成果类型: Article
• 署名作者: Cujean, Julien
• 署名单位: Centre for Economic Policy Research - UK; University of Bern
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.05.015
• 发表日期: 2020
• 页码: 88-119
• 关键词: Idea sharing; performance; Rational-expectations equilibrium

摘要

I develop an equilibrium model to explain why few mutual fund managers consistently outperform, even though many have strong informational advantages. The key ingredient is that managers obtain investment ideas through idea sharing. Idea sharing improves statistical significance of alpha through increased price informativeness. But it also causes better informed managers to take larger positions, which makes their alpha noisier although a significant fraction of managers builds strong informational advantages, statistical significance and persistence of alpha concentrate in underperforming funds. I argue that in-house development of ideas cannot explain these facts. (C) 2019 Elsevier B.V. All rights reserved.