Why mutual funds underperform

• 成果类型: Article
• 署名作者: Glode, Vincent
• 署名单位: University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.10.008
• 发表日期: 2011
• 页码: 546-559
• 关键词: Mutual fund; performance; business cycle; INVESTMENT; Pricing kernel

摘要

I propose a parsimonious model that reproduces the negative risk-adjusted performance of actively managed equity mutual funds. In the model, a fund manager can generate state-dependent active returns at a disutility. Negative expected performance and mutual fund investing simultaneously arise in equilibrium because the active return the fund manager generates covaries positively with a component of the pricing kernel that the performance measure omits, consistent with recent empirical evidence. Using data on U.S. funds, I also document new empirical evidence consistent with the model's cross-sectional implications. (C) 2010 Elsevier B.V. All rights reserved.