Mutual Fund Flows and Performance in Rational Markets
构建了一个简约的理性模型，解释了基金资金流动对历史业绩的理性反应，即使业绩不持续且主动管理未能跑赢被动基准，模型仍能复现数据中的许多典型特征。
We derive a parsimonious rational model of active portfolio management that reproduces many regularities widely regarded as anomalous. Fund flows rationally respond to past performance in the model even though performance is not persistent and investments with active managers do not outperform passive benchmarks on average. The lack of persistence in returns does not imply that differential ability across managers is nonexistent or unrewarded or that gathering information about performance is socially wasteful. The model can quantitatively reproduce many salient features in the data. The flow‐performance relationship is consistent with high average levels of skills and considerable heterogeneity across managers.