Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity

• 成果类型: Article
• 署名作者: Ferson, Wayne; Lin, Jerchern
• 署名单位: University of Southern California; National Bureau of Economic Research; State University of New York (SUNY) System; University at Buffalo, SUNY
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12165
• 发表日期: 2014
• 页码: 1565-1596
• 关键词: MUTUAL FUND PERFORMANCE; Portfolio performance; INFORMATION; strategies; selection; bounds; COSTS; FLOWS; hedge; style

摘要

The literature has not established that a positive alpha, as traditionally measured, means that an investor would want to buy a fund. When alpha is defined using the client's utility function, a positive alpha generally means the client would want to buy. When markets are incomplete, investors will disagree about the attractiveness of a fund. We provide bounds on the expected disagreement with a traditional alpha and study the cross-sectional relation of disagreement and investor heterogeneity with the flow response to past fund alphas. The effects are both economically and statistically significant.