Fund managers' herding and the sensitivity of fund flows to past performance
Fund managers' herding and the sensitivity of fund flows to past performance
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DOI：
10.1016/j.irfa.2016.07.006
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发表时间：
2016-10-01
影响因子：
8.2
通讯作者：
Casavecchia, Lorenzo
中科院分区：
文献类型：
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作者：
Casavecchia, Lorenzo
基于基金经理对职业生涯担忧的羊群效应，本文对投资者资金流向对基金业绩不佳的弱敏感性做出了新的解释。我们发现，经理人的决定，贸易与（反对）羊群显着降低（增加）投资者的意愿赎回资本从表现不佳的基金。我们认为，这种差异投资者的反应表现不佳的条件羊群解释了较低的终止风险之间确定的羊群经理。我们还发现，金融中介机构不减轻这种次优投资者的反应。我们的研究结果支持了这样一种观点，即表现不佳的基金如果羊群行为，可以保留更大的收益。(C)2016 Elsevier Inc. All rights reserved.
This study provides a new explanation for the weak sensitivity of investors' flows to poor fund performance based on fund managers' incentives to herd from career concerns. We show that a manager's decision to trade with (against) the herd decreases (increases) significantly investors' willingness to redeem capital from underperforming funds. We argue that this differential investor reaction to poor performance conditional on herding explains the lower termination risk identified among herding managers. We also find that financial intermediaries do not mitigate this sub-optimal investors' response. Our findings support the view that underperforming funds can retain larger payoffs if they herd. (C) 2016 Elsevier Inc. All rights reserved.