TY - UNPB
T1 - Market frictions, investor sophistication, and persistence in mutual fund performance
AU - Dumitrescu, A.
AU - Gil-Bazo, Javier
PY - 2017/12/1
Y1 - 2017/12/1
N2 - We extend the model of Berk and Green (2004) to investigate the impact of two frictions, search costs and financial constraints, on mutual fund
performance. Our model predicts the survival of underperforming funds and delivers two new predictions: 1) differences in performance across funds
are likely to persist; and 2) mutual funds targeted to less sophisticated investors should exhibit higher dispersion in expected performance. Using data
on U.S. domestic diversified equity mutual funds we find empirical support for these predictions.
AB - We extend the model of Berk and Green (2004) to investigate the impact of two frictions, search costs and financial constraints, on mutual fund
performance. Our model predicts the survival of underperforming funds and delivers two new predictions: 1) differences in performance across funds
are likely to persist; and 2) mutual funds targeted to less sophisticated investors should exhibit higher dispersion in expected performance. Using data
on U.S. domestic diversified equity mutual funds we find empirical support for these predictions.
U2 - dx.doi.org/10.2139/ssrn.2060067
DO - dx.doi.org/10.2139/ssrn.2060067
M3 - Documento de trabajo
BT - Market frictions, investor sophistication, and persistence in mutual fund performance
ER -