Information and investment under uncertainty

A. Dumitrescu; Javier Gil-Bazo

doi:10.1016/j.econlet.2016.08.043

Information and investment under uncertainty

A. Dumitrescu^*, Javier Gil-Bazo

^*Corresponding author for this work

Research output: Indexed journal article › Article › peer-review

1 Citation (Scopus)

Abstract

In a model of mutual fund investor learning about managerial ability, we investigate how investment decisions depend on both past returns and non-return information. We show that non-return information affects investors’ reliance on past returns as well as their decision to participate. Our results have important consequences for the relationship between flows of money and past fund performance.

Original language	English
Pages (from-to)	17-22
Number of pages	6
Journal	Economics Letters
Volume	148
DOIs	https://doi.org/10.1016/j.econlet.2016.08.043
Publication status	Published - 1 Nov 2016
Externally published	Yes

Keywords

Flow-performance relationship
Investor learning
Mutual funds
Persuasion

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10.1016/j.econlet.2016.08.043

Cite this

@article{f47a410c330d408fb46c2eebd54ea56e,

title = "Information and investment under uncertainty",

abstract = "In a model of mutual fund investor learning about managerial ability, we investigate how investment decisions depend on both past returns and non-return information. We show that non-return information affects investors{\textquoteright} reliance on past returns as well as their decision to participate. Our results have important consequences for the relationship between flows of money and past fund performance.",

keywords = "Flow-performance relationship, Investor learning, Mutual funds, Persuasion",

author = "A. Dumitrescu and Javier Gil-Bazo",

note = "Funding Information: The authors are thankful to an anonymous referee for very helpful comments and suggestions. Financial support from the Government of Spain (grants ECO2011-24928 , ECO2014-55488-P , PR2015-00645 , and PR2015-00606 ), the Government of Catalonia (grants 2014-SGR-1079 and 2014-SGR-549 ), Banc Sabadell, and La Caixa Foundation , is gratefully acknowledged. Publisher Copyright: {\textcopyright} 2016 Elsevier B.V.",

year = "2016",

month = nov,

day = "1",

doi = "10.1016/j.econlet.2016.08.043",

language = "English",

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journal = "Economics Letters",

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T1 - Information and investment under uncertainty

AU - Dumitrescu, A.

AU - Gil-Bazo, Javier

N1 - Funding Information: The authors are thankful to an anonymous referee for very helpful comments and suggestions. Financial support from the Government of Spain (grants ECO2011-24928 , ECO2014-55488-P , PR2015-00645 , and PR2015-00606 ), the Government of Catalonia (grants 2014-SGR-1079 and 2014-SGR-549 ), Banc Sabadell, and La Caixa Foundation , is gratefully acknowledged. Publisher Copyright: © 2016 Elsevier B.V.

PY - 2016/11/1

Y1 - 2016/11/1

N2 - In a model of mutual fund investor learning about managerial ability, we investigate how investment decisions depend on both past returns and non-return information. We show that non-return information affects investors’ reliance on past returns as well as their decision to participate. Our results have important consequences for the relationship between flows of money and past fund performance.

AB - In a model of mutual fund investor learning about managerial ability, we investigate how investment decisions depend on both past returns and non-return information. We show that non-return information affects investors’ reliance on past returns as well as their decision to participate. Our results have important consequences for the relationship between flows of money and past fund performance.

KW - Flow-performance relationship

KW - Investor learning

KW - Mutual funds

KW - Persuasion

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U2 - 10.1016/j.econlet.2016.08.043

DO - 10.1016/j.econlet.2016.08.043

M3 - Article

AN - SCOPUS:84988643121

SN - 0165-1765

VL - 148

SP - 17

EP - 22

JO - Economics Letters

JF - Economics Letters

ER -

Information and investment under uncertainty

Abstract

Keywords

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