What Do Mutual Fund Investors Really Care About?
研究发现共同基金投资者依赖简单信号追逐业绩，而非如文献通常假设的那样理性学习基金经理的alpha能力，这一结论对主动和被动基金均成立。
Abstract We show that mutual fund investors rely on simple signals and likely do not engage in sophisticated learning about managers’ alpha as widely believed. Simplistic performance chasing best explains aggregate flows to the mutual fund space and flows across funds. These results hold for both actively managed and passive index funds. Empirical patterns commonly interpreted as reflecting learning about managerial skill also appear in falsification tests and are mechanical. Our results are consistent with the view that, on average, households are homo sapiens with limited financial sophistication rather than hyperrational alpha-maximizing agents, as often assumed in the literature.