Mutual Fund Flows and Cross‐Fund Learning within Families
研究了共同基金家族内成员基金的资金流动如何受家族整体表现影响，发现存在正向的共同技能效应和负向的相关噪声效应，且溢出效应随家族规模增大而增强、随时间减弱。
ABSTRACT We develop a model of performance evaluation and fund flows for mutual funds in a family. Family performance has two effects on a member fund's estimated skill and inflows: a positive common‐skill effect, and a negative correlated‐noise effect. The overall spillover can be either positive or negative, depending on the weight of common skill and correlation of noise in returns. Its absolute value increases with family size, and declines over time. The sensitivity of flows to a fund's own performance is affected accordingly. Empirical estimates of fund flow sensitivities show patterns consistent with rational cross‐fund learning within families.