Idea Sharing and the Performance of Mutual Funds

Julien Cujean

No 13111, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: I develop an equilibrium model to explain why few mutual fund managers consistently outperform, even though many have strong informational advantages. The key ingredient is that managers obtain investment ideas through idea sharing. Idea sharing improves statistical signi ficance of alpha through increased price informativeness. But it also causes better informed managers to take larger positions, which makes their alpha noisier although a signi ficant fraction of managers build strong informational advantages, statistical signi ficance and persistence of alpha concentrate in underperforming funds. I argue that in-house development of ideas cannot explain these facts.

Keywords: Idea sharing; Rational-expectations equilibrium; Performance (search for similar items in EconPapers)
JEL-codes: D82 D83 D85 G23 (search for similar items in EconPapers)
Date: 2018-08
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://cepr.org/publications/DP13111 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:13111

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP13111

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().