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Cited by 559

The DOI matches its Crossref record; 31 of the 31 references it cites were found in a registry or an index.

A Rational Theory of Mutual Funds' Attention Allocation

Kacperczyk, Marcin, Van Nieuwerburgh, Stijn, Veldkamp, Laura·2016·Econometrica
DOI 10.3982/ecta11412
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Abstract

The question of whether and how mutual fund managers provide valuable services for their clients motivates one of the largest literatures in finance. One candidate explanation is that funds process information about future asset values and use that information to invest in high-valued assets. But formal theories are scarce because information choice models with many assets are difficult to solve as well as difficult to test. This paper tackles both problems by developing a new attention allocation model that uses the state of the business cycle to predict information choices, which in turn, predict observable patterns of portfolio investments and returns. The predictions about fund portfolios ’ covariance with payoff shocks, cross-fund portfolio and return dispersion, and their excess returns are all supported by the data. In turn, these findings offer new evidence that some investment managers have skill and that attention is allocated rationally.

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Metadata

Authors
Kacperczyk, M., Van Nieuwerburgh, S., & Veldkamp, L.
Venue
Econometrica
Publisher
The Econometric Society
Published
2016
Volume
84
Issue
2
Pages
571-626
ISSN
0012-9682 (ISSN-L)
DOI
10.3982/ecta11412
OpenAlex
W2235026379
Cited by
559
References
31
FWCI
71.58
Type
journal article
Language
en
Open access
closed

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.