Financial Product Differentiation over the State Space in the Mutual Fund Industry
研究发现共同基金通过差异化风险因子载荷来在不同市场状况下获得独特回报，从而获得随机市场力量并收取更高费用，这与传统的基于投资者偏好的市场细分策略不同。
By distancing themselves from others in risk factor loadings, mutual funds yield distinct returns and become better-performing funds in different market situations. This enables mutual funds to obtain stochastic market power and charge higher fees than they could otherwise. This strategy fundamentally differs from the conventional market segmentation strategy that targets investors with heterogeneous preferences. We present a model to study this novel form of financial product differentiation over the states of nature. Empirically, we find that the return attributable to risk factor loadings has a significant impact on a fund's market share. Fund fees are related to the positions of their factor loadings in the industry and funds with more extreme risk factor loadings charge higher fees. This paper was accepted by Wei Jiang, finance.