Affiliation:
1. The Ohio State University and the National Bureau of Economic Research
2. University of Utah
3. University of Arizona
4. University of Washington
Abstract
Abstract
We show that mutual fund investors rely on simple signals and likely do not engage in sophisticated learning about managers’ alpha as widely believed. Simplistic performance chasing best explains aggregate flows to the mutual fund space and flows across funds. These results hold for both actively managed and passive index funds. Empirical patterns commonly interpreted as reflecting learning about managerial skill also appear in falsification tests and are mechanical. Our results are consistent with the view that, on average, households are homo sapiens with limited financial sophistication rather than hyperrational alpha-maximizing agents, as often assumed in the literature.
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference103 articles.
1. Systematic mistakes in the mortgage market and lack of financial sophistication,;Agarwal,;Journal of Financial Economics,2017
2. Alpha or beta in the eye of the beholder: What drives hedge fund flows;Agarwal,;Journal of Financial Economics,2018
3. Smart money, dumb money, and capital market anomalies;Akbas,;Journal of Financial Economics,2015
4. Do mutual fund investors overweight the probability of extreme payoffs in the return distribution?,;Akbas,;Journal of Financial and Quantitative Analysis,2020
5. Downside risk and mutual fund flows;Artavanis,;Review of Asset Pricing Studies,2019
Cited by
65 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献