Mutual fund performance with learning across funds

• 成果类型: Article
• 署名作者: Jones, CS; Shanken, J
• 署名单位: University of Southern California; Emory University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.08.009
• 发表日期: 2005
• 页码: 507-552
• 关键词: Mutual fund; performance; Bayesian analysis

摘要

The average level and cross-sectional variability of fund alphas are estimated from a large sample of mutual funds. This information is incorporated, along with the usual regression estimate of alpha, in a (roughly) precision-weighted average measure of individual fund performance. Substantial learning across funds is documented, with significant effects on investment decisions. In a Bayesian framework, this form of learning is inconsistent with the assumption, made in the past literature, of prior independence across funds. Independence can be viewed as an extreme scenario in which the true cross-sectional distribution of alphas is presumed to be known a priori. (c) 2005 Elsevier B.V. All rights reserved.