Alpha and performance measurement: : the effects of investor disagreement and heterogeneity

• Autores: Wayne Ferson, Jerchern Lin
• Localización: The Journal of finance, ISSN 0022-1082, Vol. 69, Nº 4, 2014, págs. 1565-1596
• Idioma: inglés
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• Dialnet Métricas: 1 Cita
• Resumen

  • The literature has not established that a positive alpha, as traditionally measured, means that an investor would want to buy a fund. When alpha is defined using the client's utility function, a positive alpha generally means the client would want to buy. When markets are incomplete, investors will disagree about the attractiveness of a fund. We provide bounds on the expected disagreement with a traditional alpha and study the cross-sectional relation of disagreement and investor heterogeneity with the flow response to past fund alphas. The effects are both economically and statistically significant.