Journal of Finance, Volume 71,Issue 6,December 2016,Pages 2809-2860

关于共同基金经理的认知

作者：Darwin Choi (Chinese University of Hong Kong), Bige Kahraman (University of Oxford), Abhiroop Mukherjee (Hong Kong University of Science and Technology)

摘要：我们使用两支共同基金研究了对基金经理的资产分配问题，并且发现投资者是通过历史绩效来了解一个基金经理的。流入基本的资本可以通过基金经理管理的其他基金表现所预测，这一点在基金经理管理的基金表现优于其他基金并且其他基金发出有用信号时尤为明显。在均衡状态下，资本的分配应该会使得市场上不存在跨基金预测的行为。然而我们发现在基金中存在正向的可预测性，且在表现较差的基金中尤为明显。我们的结论与不完全认知是一致的：虽然投资者移动资本的方向是正确的，但是当基金经理所管理的其他基金表现不佳时，他们也不会提取足额的资本。

Learning about Mutual Fund Managers

Darwin Choi (Chinese University of Hong Kong), Bige Kahraman (University of Oxford), Abhiroop Mukherjee (Hong Kong University of Science and Technology)

ABSTRACT

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 are consistent with incomplete learning: while investors move capital in the right direction, they do not withdraw enough capital when the manager underperforms in his other fund.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12405/full

翻译：秦秀婷