کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
959747 929357 2011 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Why mutual funds “underperform”
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Why mutual funds “underperform”
چکیده انگلیسی

I propose a parsimonious model that reproduces the negative risk-adjusted performance of actively managed equity mutual funds. In the model, a fund manager can generate state-dependent active returns at a disutility. Negative expected performance and mutual fund investing simultaneously arise in equilibrium because the active return the fund manager generates covaries positively with a component of the pricing kernel that the performance measure omits, consistent with recent empirical evidence. Using data on U.S. funds, I also document new empirical evidence consistent with the model's cross-sectional implications.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 99, Issue 3, March 2011, Pages 546–559
نویسندگان
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