Idea sharing and the performance of mutual funds

Cujean, Julien (2020). Idea sharing and the performance of mutual funds. Journal of financial economics, 135(1), pp. 88-119. Elsevier 10.1016/j.jfineco.2019.05.015

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I develop an equilibrium model to explain why few mutual fund managers consistently outperform, even though many have strong informational advantages. The key ingredient is that managers obtain investment ideas through idea sharing. Idea sharing improves statis- tical significance of alpha through increased price informativeness. But it also causes better informed managers to take larger positions, which makes their alpha noisier—although a significant fraction of managers builds strong informational advantages, statistical signif- icance and persistence of alpha concentrate in underperforming funds. I argue that in- house development of ideas cannot explain these facts.

Item Type:

Journal Article (Original Article)

Division/Institute:

03 Faculty of Business, Economics and Social Sciences > Department of Business Management > Institute of Financial Management

UniBE Contributor:

Cujean, Julien

Subjects:

600 Technology
600 Technology > 650 Management & public relations

ISSN:

0304-405X

Publisher:

Elsevier

Language:

English

Submitter:

Karin Dolder

Date Deposited:

15 Jul 2021 12:09

Last Modified:

05 Dec 2022 15:52

Publisher DOI:

10.1016/j.jfineco.2019.05.015

Uncontrolled Keywords:

Idea sharing, Performance, Rational-expectations equilibrium

BORIS DOI:

10.48350/157461

URI:

https://boris.unibe.ch/id/eprint/157461

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