The Relation between Price and Performance in the Mutual Fund Industry

• 成果类型: Article
• 署名作者: Gil-Bazo, Javier; Ruiz-Verdu, Pablo
• 署名单位: Universidad Carlos III de Madrid
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01497.x
• 发表日期: 2009
• 页码: 2153-2183
• 关键词: flows; RISK; persistence; Managers; expenses; MARKETS; stocks; COSTS

摘要

Gruber (1996) drew attention to the puzzle that investors buy actively managed equity mutual funds, even though on average such funds underperform index funds. We uncover another puzzling fact about the market for equity mutual funds: Funds with worse before-fee performance charge higher fees. This negative relation between fees and performance is robust and can be explained as the outcome of strategic fee-setting by mutual funds in the presence of investors with different degrees of sensitivity to performance. We also find some evidence that better fund governance may bring fees more in line with performance.