The first EMF Special Seminar will host Terrance Odean.
Which factors matter to investors? Evidence from mutual fund flows.
When assessing a fund manager’s skill, sophisticated investors will consider all factors (priced and unpriced) that explain cross-sectional variation in fund performance. We investigate which factors investors attend to by analyzing mutual fund flows as a function of recent returns decomposed into alpha and factor-related returns. Surprisingly, investors attend most to market risk (beta) when evaluating funds and treat returns attributable to size, value, momentum, and industry factors as alpha. Using proxies for investor sophistication (wealth, distribution channels, and periods of high investor sentiment), we find that more sophisticated investors use more sophisticated benchmarks when evaluating fund performance.
Terrance Odean – Rudd Family Foundation Professor and Chair of the Finance Group at the Haas School of Business, University of California, Berkeley
Andrea Beltratti – Academic Director EMF
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