Learning about Mutual Fund Managers

• 成果类型: Article
• 署名作者: Choi, Darwin; Kahraman, Bige; Mukherjee, Abhiroop
• 署名单位: Chinese University of Hong Kong; Hong Kong University of Science & Technology; University of Oxford
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12405
• 发表日期: 2016
• 页码: 2809-2860
• 关键词: transactions costs; Hedge funds; performance; FLOWS; INFORMATION; liquidity; RISK; size; BEHAVIOR; search

摘要

We study capital allocations to managers with two mutual funds, and show that investors learn about managers from their performance records. Flows into a fund are predicted by the manager's performance in his other fund, especially when he outperforms and when signals from the other fund are more useful. In equilibrium, capital should be allocated such that there is no cross-fund predictability. However, we find positive predictability, particularly among underperforming funds. Our results are consistent with incomplete learning: while investors move capital in the right direction, they do not withdraw enough capital when the manager underperforms in his other fund.