Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity
研究传统阿尔法衡量基金业绩的局限性，发现市场不完善时投资者对基金吸引力存在分歧，且分歧和异质性显著影响资金流对历史阿尔法的反应。
ABSTRACT The literature has not established that a positive alpha, as traditionally measured, means that an investor would want to buy a fund. When alpha is defined using the client's utility function, a positive alpha generally means the client would want to buy. When markets are incomplete, investors will disagree about the attractiveness of a fund. We provide bounds on the expected disagreement with a traditional alpha and study the cross‐sectional relation of disagreement and investor heterogeneity with the flow response to past fund alphas. The effects are both economically and statistically significant.