Precision about manager skill, mutual fund flows, and performance persistence

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 495
  • Download : 0
Constructing a measure for imprecision about manager skill, IMP, by standard deviation of multiple performance-based signals, we examine the role of IMP in flow-performance relationship. We find that future fund flows respond more (less) strongly to past performance measured with high (low) precision. Our finding is robust to the inclusion of control variables that are known to affect future fund flows. In addition, short-term performance persistence is observed among funds with lower IMP, implying that our IMP helps identify funds with performance persistence. Overall, our findings indicate that IMP plays a critical role in understanding the cross-section of future flows. (C) 2017 Elsevier Inc. All rights reserved.
Publisher
ELSEVIER SCIENCE INC
Issue Date
2017-04
Language
English
Article Type
Article
Keywords

PORTFOLIO PERFORMANCE; COSTLY INFORMATION; RISK; BENCHMARKS; EFFICIENCY; INDUSTRY

Citation

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.40, pp.222 - 237

ISSN
1062-9408
DOI
10.1016/j.najef.2017.03.002
URI
http://hdl.handle.net/10203/223785
Appears in Collection
MT-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0