Market frictions, investor sophistication, and persistence in mutual fund performance

Ariadna Dumitrescu, Javier Gil-Bazo

Producción científica: Artículo en revista indizadaArtículorevisión exhaustiva

9 Citas (Scopus)

Resumen

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.

Idioma originalInglés
Páginas (desde-hasta)40-59
Número de páginas20
PublicaciónJournal of Financial Markets
Volumen40
DOI
EstadoPublicada - sept 2018
Publicado de forma externa

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