Should Investors Avoid All Actively Managed Mutual Funds ? A Study in Bayesian Performance Evaluation

@inproceedings{Baks1999ShouldIA,
  title={Should Investors Avoid All Actively Managed Mutual Funds ? A Study in Bayesian Performance Evaluation},
  author={Klaas Baks and Andrew Metrick and Jessica A. Wachter},
  year={1999}
}
This paper analyzes mutual-fund performance from an investor's perspective. We study the portfolio-choice problem for a mean-variance investor choosing among a risk-free asset, index funds, and actively managed mutual funds. To solve this problem, we employ a Bayesian method of performance evaluation; a key innovation in our approach is the development of a flexible set of prior beliefs about managerial skill. We then apply our methodology to a sample of 1,437 mutual funds. We find that some… CONTINUE READING
Highly Cited
This paper has 395 citations. REVIEW CITATIONS

Citations

Publications citing this paper.

396 Citations

02040'99'03'08'13'18
Citations per Year
Semantic Scholar estimates that this publication has 396 citations based on the available data.

See our FAQ for additional information.

References

Publications referenced by this paper.
Showing 1-10 of 41 references

Are some mutual fund managers better than others? Cross-sectional patterns in behavior and performance

Chevalier, Judith, Glenn Ellison
Journal of Finance • 1999

Bayesian performance evaluation, NBER Working Paper

Baks, Klaas, Andrew Metrick, Jessica Wachter
1999

Clarendon Lectures: Inefficient Markets, Oxford University Press, Forthcoming

Shleifer, Andrei
1999

Comparing Asset-Pricing Models: An Investment Perspective, Working paper, The University of Pennsylvania

Pástor, Lubos, F Robert
Stambaugh, • 1999

Is money smart? A study of mutual fund investors’ fund selection ability

Zheng, Lu
Journal of Finance 54, • 1999

Portfolio selection and asset pricing models, Journal of Finance, Forthcoming

Pástor, Lubos
1999

Stambaugh, 1999a, Costs of equity capital and model mispricing

Pástor, Lubos, F Robert
Journal of Finance • 1999

Evidence on the characteristics of crosssectional variation in stock returns

Daniel, Kent, Sheridan Titman
Journal of Finance • 1997

Measuring mutual fund performance with characteristic based benchmarks

Daniel, Kent, Mark Grinblatt, Sheridan Titman, Russ Wermers
Journal of Finance • 1997