Measuring skill in the mutual fund industry

被引：369

作者：

Berk, Jonathan B. ^{[1
,4
]}

van Binsbergen, Jules H. ^{[2
,3
,4
]}

机构：

[1] Stanford Univ, Grad Sch Business, Knight Management Ctr, Stanford, CA 94305 USA

[2] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA

[3] Tilburg Univ, NL-5000 LE Tilburg, Netherlands

[4] Natl Bur Econ Res, Cambridge, MA 02138 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2015年 / 118卷 / 01期

关键词：

Mutual funds; Managerial skill; Alpha; PICK STOCKS; PERFORMANCE; MANAGEMENT; SIZE; SELECTION; EARNINGS; TRADES;

D O I：

10.1016/j.jfineco.2015.05.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using the value that a mutual fund extracts from capital markets as the measure of skill, we find that the average mutual fund has used this skill to generate about $3.2 million per year. Large cross-sectional differences in skill persist for as long as ten years. Investors recognize this skill and reward it by investing more capital with better funds. Better funds earn higher aggregate fees, and a strong positive correlation exists between current compensation and future performance. The cross-sectional distribution of managerial skill is predominantly reflected in the cross-sectional distribution of fund size, not gross alpha. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：1 / 20

页数：20

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