Performance evaluation and self-designated benchmark indexes in the mutual fund industry

• 成果类型: Article
• 署名作者: Sensoy, Berk A.
• 署名单位: University of Southern California
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.02.011
• 发表日期: 2009
• 页码: 25-39
• 关键词: mutual funds; Performance evaluation; benchmarks; FLOWS; Strategic incentives

摘要

Almost one-third of actively managed, diversified U.S. equity mutual funds specify a size and value/growth benchmark index in the fund prospectus that does not match the fund's actual style. Nevertheless, these mismatched benchmarks matter to fund investors. Performance relative to the specified benchmark is a significant determinant of a fund's subsequent cash inflows, even controlling for performance measures that better capture the fund's style. These incremental flows appear unlikely to be rational responses to abnormal returns. The evidence is consistent with the notion that mismatched self-designated benchmarks result from strategic fund behavior driven by the incentive to improve flows. (C) 2008 Elsevier B.V. All rights reserved.