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Mutual fund flows, performance persi...

Wang, Yan.

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Mutual fund flows, performance persistence and manager skill.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Mutual fund flows, performance persistence and manager skill./
作者:	Wang, Yan.
面頁冊數:	82 p.
附註:	Source: Dissertation Abstracts International, Volume: 68-06, Section: A, page: 2587.
Contained By:	Dissertation Abstracts International68-06A.
標題:	Economics, Finance. -
電子資源:	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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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.
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