Mutual Fund Competition, Managerial Skill, and Alpha Persistence
研究提出基于风格的空间方法识别基金竞争对手，构建动态竞争指标，发现竞争较小时跑赢对手的基金能产生持续超过四个季度的未来超额收益。
What economic forces limit mutual fund managers from generating consistent outperformance? We propose and test the hypothesis that buy-side competition from other funds matters. We make three contributions. First, we propose new style-based spatial methods to identify the customized rivals of each fund. Second, we construct dynamic, fund-specific measures of competition and generate measures of skill as a fund’s outperformance relative to its customized peers. Third, and finally, we show that funds outperforming their customized rivals generate future alpha when they face less competition. These results are economically significant and last for over four quarters.Received September 11, 2016; editorial decision September 26, 2017 by Editor Itay Goldstein. Authors have furnished an Internet Appendix, which is available on the Oxford University PressWeb site next to the link to the final published paper online.