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dc.contributor.authorPalomino, Fredericen_US
dc.contributor.authorUhlig, Haralden_US
dc.date.accessioned2012-10-19T10:25:41Z-
dc.date.available2012-10-19T10:25:41Z-
dc.date.issued2002en_US
dc.identifier.piurn:nbn:de:kobv:11-10048867en_US
dc.identifier.urihttp://hdl.handle.net/10419/65372-
dc.description.abstractNewspapers and weekly magazines catering to the investing crowd often rank funds according to the returns generated in the past. Aside from satisfying sheer curiosity, these numbers are probably also the basis on which investors pick a fund to invest in. In this article, we fully characterize the equilibrium in a game between a mutual fund manager of unknown ability who controls the riskiness of his portfolio and investors who only observe realized returns. We derive conditions under which (i) investors invest in the fund if the realized return falls within some interval, i.e., is neither too low nor too high, (ii) an informed fund manager picks a portfolio of minimal riskiness and (iii) an uninformed mutual fund manager will pick a portfolio with higher risk, gambling on a lucky outcome, (iv), when the fee structure is endogenous, both types of manager choose the same fraction-of-fund fee structure. Our results are consistent with empirical evidence about the lack of persistence of top performance, and about the very wide use of fraction-of-fund fee structure among mutual funds.en_US
dc.language.isoengen_US
dc.publisherHumboldt-Universität Berlinen_US
dc.relation.ispartofseriesDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,28en_US
dc.subject.ddc330en_US
dc.titleShould smart investors buy funds with high returns in the past?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn726381640en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:200228-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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