The price of skill: Performance evaluation by households

• 成果类型: Article
• 署名作者: Savoy, Alexi
• 署名单位: New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.11.005
• 发表日期: 2014
• 页码: 213-231
• 关键词: MUTUAL FUND PERFORMANCE; Active funds; INDEX FUNDS; Fund flows

摘要

Skilled investors make money off uninformed investors. By acting as intermediaries, they provide a hedge to the uninformed investors themselves. I present a model in which households have imperfect information about expected returns. Non-traded income shocks lead them to rebalance, sometimes at the wrong time. Active funds hedge this risk by trading on superior information. In equilibrium, they pay off when non-traded income disappoints, earning a premium that makes them appear to underperform index funds after fees. Empirical results using aggregate fund flows support the model. A corresponding asset pricing test can account for the apparent underperformance of active funds. (C) 2013 Elsevier B.V. All rights reserved.