Unobserved Actions of Mutual Funds

摘要：

Mutual fund investors cannot observe all the actions of mutual funds managers despite extensive disclosure requirements. Fund investors cannot observe the timing of the trades of fund managers and they cannot observe the trading prices for the transactions. Unobserved actions can create or destroy value. Skilled fund managers can create value by timing the purchases and sales of individual stocks. On the other hand, unobserved actions can destroy value if the total costs of the trades exceed their benefits. We propose the “return gap as a new measure to quantify the impact of such unobserved actions on fund returns. The return gap is computed for each fund as the difference between the net return of a fund and the gross return of a hypothetical buy-and-hold portfolio that invests in the previously disclosed holdings. We find a substantial heterogeneity in the return gap, indicating that unobserved actions of some funds create value while unobserved actions of others destroy value. We show that the return gap is highly persistent and that funds with favorable return gaps tend to exhibit superior future performance before and after controlling for various fund characteristics including past fund performance.

作者: MARCIN KACPERCZYK CLEMENS SIALM LU ZHENG

作者单位: School of Business The University of British Columbia 2053 Main Mall Vancouver, B.C., Canada V6T 1Z2 Stephen M. Ross School of Business at the University of Michigan and NBER 701 Tappan Street Ann Arbo Stephen M. Ross School of Business at the University of Michigan 701 Tappan Street Ann Arbor, MI 481

会议类型: 国际会议

会议名称: 2006年中国金融国际年会

会议地点: 西安

会议语种:英文

页码: 1-58

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）