Mutual Funds in Equilibrium

被引:21
作者
Berk, Jonathan B. [1 ,2 ]
van Binsbergen, Jules H. [2 ,3 ]
机构
[1] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA
[2] Natl Bur Econ Res, Cambridge, MA 02138 USA
[3] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA
来源
ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 9 | 2017年 / 9卷
关键词
skill; value added; alpha; rational expectations; returns to scale; MARKET; RISK; CONSUMPTION; BEHAVIOR; RETURNS; FLOWS; PERFORMANCE; RESOLUTION; PRICES; SKILL;
D O I
10.1146/annurev-financial-110716-032454
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Historically, the literature on money management has inconsistently applied the rational expectations equilibrium concept. We explain why and summarize developments in the money management literature that do apply this concept correctly. We demonstrate that the rational expectations equilibrium approximates the observed equilibrium in the money management space at least as well as it does in the stock market. Recent work reveals that there is little support for the common conclusion that, as a group, investors in the money management space are naive and that mutual fund managers are charlatans. Even today, equilibrium thinking is not nearly as prevalent in mutual fund research as it is in the rest of asset pricing. This state of play provides a multitude of opportunities for future research in the area.
引用
收藏
页码:147 / 167
页数:21
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