Investing in the “New Economy”: Mutual Fund Performance and the Nature of the Firm
研究发现，主动管理型共同基金投资于无形资产密集型企业的风险调整后收益显著低于投资于实物资产密集型企业，且这种负面效应源于外推偏差，并随经验学习而减弱。
Abstract Although stock returns of intangibles-intensive firms tend to exceed physical assets-intensive firms, risk-adjusted returns of actively managed mutual funds significantly decrease (increase) with their portfolios’ exposure to intangibles-intensive (physical assets-intensive) firms. Fund managers tend to exhibit skill when they focus on difficult-to-value (e.g., small) firms, except when the firms are intangibles-intensive. In sum, the worst-performing funds are in areas of the market that seem to offer ample opportunities for professional investors due to exacerbated mispricing. The negative impact of investments in intangibles-intensive firms on fund performance appears to be driven by extrapolation bias and decreases with learning from experience.