Mutual Fund Flows and Performance in Rational Markets

By Jonathan B. Berk, Richard Green. Journal of Political Economy, 2004

2,241 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/15fbccd9e98ae345b1b84de2be1bf0943c7c5585

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Citations in the corpus

Short-Term Persistence in Mutual Fund Performance (2005, background): “managers to possess an informational advantage, but over what horizon? Berk and Green (2004) show theoretically that a fund manager’s informational advantage will be short-lived when investors direct their capital to recent winners. The goal of this article, therefore, is to determine empirically wh”
A Unique View of Hedge Fund Derivatives Usage: Safeguard or Speculation? (2012, background): “The relation between manager skill and equilibrium after-fee fund returns to investors is unclear (see, e.g., Berk and Green (2004)).”
Earnings Manipulation and Expected Returns (2013, result): “Our findings also extend the literature on market learning and the limits of arbitrage (Berk and Green 2004; Green, Hand, and Soliman 2011; Bebchuk, Cohen, and Wang, forthcoming).”
Luck versus Skill in the Cross-Section of Mutual Fund Returns (2010, neutral): “Thus, for percentiles above the 90th, the CAPM t(α) Luck versus Skill in Mutual Fund Returns 1945 Table AI Percentiles of CAPM t(α) Estimates for Actual and Simulated Fund Returns The table shows values of t(α) at selected percentiles (Pct) of the distribution of CAPM t(α) estimates for actual (Act)”
Incentives and Mutual Fund Performance: Higher Performance or Just Higher Risk Taking? (2009, neutral): “Consistent with the theory of Berk and Green (2004), we find that inflows have a negative impact on risk-adjusted returns.”
Capacity Constraints and Hedge Fund Strategy Returns (2007, background): “They interpret these findings as evidence of capacity constraints in the hedge fund industry à la Berk and Green (2004).”
Learning in Financial Markets (2009, background): “Berk and Green (2004) show that these facts are consistent with rational learning.”
Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation (2006, neutral): “Our findings are consistent with Berk and Green (2004) who show, using a rational model of active portfolio management, that in equilibrium more money will flow to managers with superior skills leading to an erosion of performance over time and equalization of after fee returns available to investor”
Quantifying Managerial Ability: A New Measure and Validity Tests (2012, methodology): “…a number of papers have used DEA to measure firm efficiency (e.g., Thore et al. 1994; Murthi et al. 1996; Murthi et al. 1997; Barr and Siems 1997; Berk and Green 2004; Berk and Stanton 2007; Leverty and Grace 2011), we are the first to measure efficiency for a large cross-section of firms,…”
How Persistent is Private Equity Performance? Evidence from Deal-Level Data (2017, neutral): “Even if fund terms were the same, the net performance of high-performing funds will be attenuated as the GP accrues, and then receives, carried interest payments, and this will impact on any analysis of performance persistence across funds using net returns (Berk and Green, 2004).”
Judging Fund Managers by the Company They Keep (2005, neutral): “As explained by Berk and Green (2002), there should be no persistence in fund performance if investors compete for high returns and if managerial ability exhibits decreasing returns to scale.”
A Macroeconomic Framework for Quantifying Systemic Risk (2019, background): “The leading explanation for the flow-performance relationship is based on investors’ learning the skill of the fund manager (see Berk and Green, 2004). Although we do not model learning, this type of explanation is our motivation for equation (4). That is, one can give a rational underpinning for a ”