Kahraman, Bige, Choi, Darwin and Mukherjee, Abhiroop (2016) Learning About Mutual Fund Managers. The Journal of Finance.
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We study capital allocations to managers with two mutual funds, and show that investors learn about managers from their performance records. Flows into a fund are predicted by the manager's performance in his other fund, especially when he outperforms and when signals from the other fund are more useful. In equilibrium, capital should be allocated such that there is no cross-fund predictability. However, we find positive predictability, particularly among underperforming funds. Our results indicate incomplete learning: while investors move capital in the right direction, they do not withdraw enough capital when the manager underperforms in his other fund.
|Keywords:||Finance, Mutual Funds, Flow-Performance, Performance Predictability|
|Date Deposited:||07 Oct 2015 13:39|
|Last Modified:||03 Jun 2016 14:55|
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Learning About Mutual Fund Managers. (deposited 01 Jul 2015 09:56)
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