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

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dc.contributor.authorJeon, Hyunglaeko
dc.contributor.authorKang, Jangkooko
dc.contributor.authorLee, Changjunko
dc.date.accessioned2017-05-25T06:12:03Z-
dc.date.available2017-05-25T06:12:03Z-
dc.date.created2017-05-15-
dc.date.created2017-05-15-
dc.date.issued2017-04-
dc.identifier.citationNORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.40, pp.222 - 237-
dc.identifier.issn1062-9408-
dc.identifier.urihttp://hdl.handle.net/10203/223785-
dc.description.abstractConstructing 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.-
dc.languageEnglish-
dc.publisherELSEVIER SCIENCE INC-
dc.subjectPORTFOLIO PERFORMANCE-
dc.subjectCOSTLY INFORMATION-
dc.subjectRISK-
dc.subjectBENCHMARKS-
dc.subjectEFFICIENCY-
dc.subjectINDUSTRY-
dc.titlePrecision about manager skill, mutual fund flows, and performance persistence-
dc.typeArticle-
dc.identifier.wosid000399436800016-
dc.identifier.scopusid2-s2.0-85016064838-
dc.type.rimsART-
dc.citation.volume40-
dc.citation.beginningpage222-
dc.citation.endingpage237-
dc.citation.publicationnameNORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE-
dc.identifier.doi10.1016/j.najef.2017.03.002-
dc.contributor.localauthorKang, Jangkoo-
dc.contributor.nonIdAuthorJeon, Hyunglae-
dc.contributor.nonIdAuthorLee, Changjun-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorMutual fund flows-
dc.subject.keywordAuthorFlow-performance relationship-
dc.subject.keywordAuthorPrecision about manager skill-
dc.subject.keywordAuthorInvestor behavior-
dc.subject.keywordPlusPORTFOLIO PERFORMANCE-
dc.subject.keywordPlusCOSTLY INFORMATION-
dc.subject.keywordPlusRISK-
dc.subject.keywordPlusBENCHMARKS-
dc.subject.keywordPlusEFFICIENCY-
dc.subject.keywordPlusINDUSTRY-
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