The Portfolio Allocation Effects of Investor Sentiment about the Ability of Managers to Beat the Market∗
نویسندگان
چکیده
I present a model that can transform discounts on closed-end mutual funds into a measure of investor sentiment about the ability of fund managers to beat the market. This measure of sentiment varies positively with capital flows into actively managed open-end mutual funds, but negatively with capital flows into passively managed index funds. Investors appear to re-allocate their portfolios between actively and passively managed investment vehicles based on expectations about by how much managers will beat or trail the market. ∗Department of Economics, Vassar College, 124 Raymond Ave. #424, Poughkeepsie, NY 12604. [email protected] I would like to thank George Akerlof for encouragement and numerous suggestions, J. Bradford DeLong for guiding me to the study of closed-end funds, and David Romer, Greg Duffee, David Freedman, Richard Lyons, and Roger Craine for numerous comments and suggestions. Vassar College Economics Working Paper # 77
منابع مشابه
The Portfolio Allocation Effects of Investor Confidence in Managers
I present a model that can transform discounts on closed-end mutual funds into a measure of investor sentiment about the ability of fund managers to beat the market. It is demonstrated that this measure of sentiment varies positively with capital flows into open-end mutual funds, which are actively managed, and negatively with capital flows into index funds, which are passively managed. This is...
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