Mutual Fund Competition, Managerial Skill, and Alpha Persistence
Hoberg, G and Kumar, N and Prabhala, N (2018) Mutual Fund Competition, Managerial Skill, and Alpha Persistence. The Review of Financial Studies, 31 (5). pp. 1896-1929.
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What economic forces limit mutual fund managers from generating consistent outperformance? We propose and test the hypothesis that buy-side competition from other funds matters. We make three contributions. First, we propose new style-based spatial methods to identify the customized rivals of each fund. Second, we construct dynamic, fund-specific measures of competition and generate measures of skill as a fund’s outperformance relative to its customized peers. Third, and finally, we show that funds outperforming their customized rivals generate future alpha when they face less competition. These results are economically significant and last for over four quarters.
| Affiliation: | Indian School of Business |
|---|---|
| ISB Creiators: |
ISB Creators ORCiD Kumar, N UNSPECIFIED |
| Item Type: | Article |
| Uncontrolled Keywords: | Asset Pricing, Trading volume, Bond Interest Rates, Portfolio Choice, Investment Decisions |
| Subjects: | Financial Management Finance |
| Depositing User: | Veeramani R |
| Date Deposited: | 27 Aug 2018 10:06 |
| Last Modified: | 27 Aug 2018 10:06 |
| URI: | http://eprints.exchange.isb.edu/id/eprint/579 |
| Publisher URL: | http://dx.doi.org/10.1093/rfs/hhx127 |
| Related URLs: |
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