haku: @indexterm capital asset pricing / yhteensä: 356
viite: 18 / 356
| Tekijä: | Karceski, J. |
| Otsikko: | Returns-chasing behavior, mutual funds, and beta's death |
| Lehti: | Journal of Financial and Quantitative Analysis
2002 : DEC, VOL. 37:4, p. 559-594 |
| Asiasana: | Capital asset pricing Return on investment Unit trusts |
| Kieli: | eng |
| Tiivistelmä: | The author develops an agency model where returns-chasing behavior by mutual fund investors causes beta not to be priced to the degree predicted by the standard CAPM. Mutual fund investors chase returns through time, precipitating unusually large aggregate cash inflows into mutual funds just after dramatic market runups. Mutual fund investors also chase returns cross-sectionally across funds so that the highest-performing funds capture the largest fraction of the aggregate inflows into the mutual fund sector. The interaction of these two flow-performance relationships induces an asymmetry in payoffs to mutual funds where fund managers care most about outperforming peers during bull markets. |
SCIMA