IDEAS home Printed from https://ideas.repec.org/a/oup/rfinst/v29y2016i10p2600-2642..html
   My bibliography  Save this article

Which Factors Matter to Investors? Evidence from Mutual Fund Flows

Author

Listed:
  • Brad M. Barber
  • Xing Huang
  • Terrance Odean

Abstract

When assessing a fund manager’s skill, sophisticated investors will consider all factors (priced and unpriced) that explain cross-sectional variation in fund performance. We investigate which factors investors attend to by analyzing mutual fund flows as a function of recent returns decomposed into alpha and factor-related returns. Surprisingly, investors attend most to market risk (beta) when evaluating funds and treat returns attributable to size, value, momentum, and industry factors as alpha. Using proxies for investor sophistication (wealth, distribution channels, and periods of high investor sentiment), we find that more sophisticated investors use more sophisticated benchmarks when evaluating fund performance.Received August 14, 2015; accepted May 3, 2016 by Editor Stefan Nagel.

Suggested Citation

  • Brad M. Barber & Xing Huang & Terrance Odean, 2016. "Which Factors Matter to Investors? Evidence from Mutual Fund Flows," The Review of Financial Studies, Society for Financial Studies, vol. 29(10), pages 2600-2642.
    • Handle: RePEc:oup:rfinst:v:29:y:2016:i:10:p:2600-2642.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/rfs/hhw054
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:rfinst:v:29:y:2016:i:10:p:2600-2642.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/sfsssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.