Self-Declared benchmarks and fund manager intent: “Cheating” or competing?

IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE
Huaizhi Chen , Richard Evans , Yang Sun
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引用次数: 0

Abstract

Using a panel of self-declared benchmarks, we examine funds’ use of mismatched benchmarks over time. Mismatching is high at the beginning of our sample (45 % of TNA in 2008), consistent with prior studies, but declines significantly over time (27 % in 2020), driven by existing specialized funds changing benchmarks to match their style. Market forces including investor learning, institutional governance, market competition, and product positioning all play a role in benchmark correction decisions. For funds with difficult to categorize investment strategies, mismatched benchmarks are less associated with performance bias. Our study highlights the value of market solutions in aligning manager-investor interests.
自封基准和基金经理意图:“作弊”还是竞争?
我们使用一组自我宣布的基准,研究了基金长期以来对不匹配基准的使用情况。在我们的样本开始时,错配率很高(2008年占TNA的45%),与之前的研究一致,但随着时间的推移,错配率显著下降(2020年为27%),这是由现有的专业基金改变基准以匹配其风格所驱动的。包括投资者学习、机构治理、市场竞争和产品定位在内的市场力量都在基准修正决策中发挥作用。对于难以对投资策略进行分类的基金来说,不匹配的基准与业绩偏差的关系较小。我们的研究强调了市场解决方案在协调管理者和投资者利益方面的价值。
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来源期刊
CiteScore
15.80
自引率
4.50%
发文量
192
审稿时长
37 days
期刊介绍: The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.
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