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Mutual fund flows, performance persi...

Wang, Yan.

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Mutual fund flows, performance persistence and manager skill.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Mutual fund flows, performance persistence and manager skill./
Author:	Wang, Yan.
Description:	82 p.
Notes:	Source: Dissertation Abstracts International, Volume: 68-06, Section: A, page: 2587.
Contained By:	Dissertation Abstracts International68-06A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3270630
ISBN:	9780549100973

Mutual fund flows, performance persistence and manager skill.
Wang, Yan.

Mutual fund flows, performance persistence and manager skill. - 82 p.

Source: Dissertation Abstracts International, Volume: 68-06, Section: A, page: 2587.

Thesis (Ph.D.)--Arizona State University, 2007.

In this paper, I construct a Bayesian measure of mutual fund manager skill, based on a flow-performance equilibrium model. Using this measure, I find that the posterior skill estimates vary substantially in the cross section and perceived differences in ability persist through time. Fund flows are driven by investors' Bayesian updates on skill estimate even after controlling for past performance. Cross-sectional variation in posterior skill estimates has predictive power for out-of-sample fund performance over the following year. Nonetheless, high-skilled managers do not consistently out-perform low-skilled managers in the long run, as performance-chasing fund flows equalize abnormal fund returns in equilibrium. I also show that the cross-sectional distribution of manager ability is related to fund styles in such a way that marginal productivity of the manager is matched to the underlying portfolio. My empirical evidence is consistent with some managers possessing high ability, investors rationally chasing returns generated by those managers, and lack of long-run persistence in fund returns regardless of the skill of the manager. Finally, I present a revised model with transaction cost, along with supporting empirical evidence that funds with less information asymmetry or trading cost enjoy a greater sensitivity of flows to investors' Bayesian updates.

ISBN: 9780549100973Subjects--Topical Terms:

626650
Economics, Finance.

Mutual fund flows, performance persistence and manager skill.
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020 $a 9780549100973
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100 1 $a Wang, Yan. $3 1021976
245 1 0 $a Mutual fund flows, performance persistence and manager skill.
300 $a 82 p.
500 $a Source: Dissertation Abstracts International, Volume: 68-06, Section: A, page: 2587.
502 $a Thesis (Ph.D.)--Arizona State University, 2007.
520 $a In this paper, I construct a Bayesian measure of mutual fund manager skill, based on a flow-performance equilibrium model. Using this measure, I find that the posterior skill estimates vary substantially in the cross section and perceived differences in ability persist through time. Fund flows are driven by investors' Bayesian updates on skill estimate even after controlling for past performance. Cross-sectional variation in posterior skill estimates has predictive power for out-of-sample fund performance over the following year. Nonetheless, high-skilled managers do not consistently out-perform low-skilled managers in the long run, as performance-chasing fund flows equalize abnormal fund returns in equilibrium. I also show that the cross-sectional distribution of manager ability is related to fund styles in such a way that marginal productivity of the manager is matched to the underlying portfolio. My empirical evidence is consistent with some managers possessing high ability, investors rationally chasing returns generated by those managers, and lack of long-run persistence in fund returns regardless of the skill of the manager. Finally, I present a revised model with transaction cost, along with supporting empirical evidence that funds with less information asymmetry or trading cost enjoy a greater sensitivity of flows to investors' Bayesian updates.
590 $a School code: 0010.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 $a Arizona State University. $3 1017445
773 0 $t Dissertation Abstracts International $g 68-06A.
790 $a 0010
791 $a Ph.D.
792 $a 2007
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3270630