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Cross-sectional alpha dispersion and performance evaluation
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DOI：10.1016/j.jfineco.2019.04.005.png)
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摘要
En 中文
Our paper explores the link between cross-sectional fund return dispersion and performance evaluation. The foundation of our model is the simple intuition that in periods of high return dispersion, which is associated with high levels of idiosyncratic risk for zero alpha funds, unskilled managers can more easily disguise themselves as skilled. Rational investors should be more skeptical and apply larger discounts to reported performance in high dispersion environments. Our empirical results are consistent with this prediction. Using fund flow data, we show that a one standard deviation increase in cross-sectional return dispersion is associated with an 11% to 17% decline in flow-performance sensitivity. The effect is stronger for recent data and among outperforming funds. (C)2019 Elsevier B.V. All rights reserved.
Keyword:
Alpha
Hedge funds
Mutual funds
Performance evaluation
Bayesian
Appraisal ratio
Flow-performance sensitivity
Flow-performance convexity
Idiosyncratic risk
Performance ranks
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12
论文数:
3.8K
被引数:
5.5W
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