Fooled by randomness: Investor perception of fund manager skill


Heuer, Justus ; Merkle, Christoph ; Weber, Martin



DOI: https://doi.org/10.1093/rof/rfw011
URL: https://academic.oup.com/rof/article/21/2/605/2670...
Additional URL: https://www.researchgate.net/publication/299496299...
Document Type: Article
Year of publication: 2017
The title of a journal, publication series: Review of Finance
Volume: 21
Issue number: 2
Page range: 605-635
Place of publication: Oxford
Publishing house: Oxford University Press
ISSN: 1572-3097 , 1573-692X
Publication language: English
Institution: Business School > ABWL u. Bankbetriebslehre (Seniorprofessur) (Weber 2017-)
Subject: 330 Economics
Classification: JEL: G02 , G11 , G23,
Keywords (English): Financial Stability and Systemic Risk , Mutual Funds and Institutional Investors
Abstract: Return-chasing investors almost exclusively consider top-performing funds for their investment decisions. When drawing conclusions about the managerial skill of these top performers, they tend to neglect fund volatility and the cross-sectional information contained in the number of funds and the distribution of skill. In multiple surveys of sophisticated retail investors, we show that they do not fully understand the role of chance in experimental samples of fund populations. Respondents evaluate each fund in isolation and do not sufficiently account for fund volatility. They confuse risk taking with manager skill and are thus likely to over-allocate capital to lucky past winners.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Heuer, Justus ; Merkle, Christoph ; Weber, Martin (2017) Fooled by randomness: Investor perception of fund manager skill. Review of Finance Oxford 21 2 605-635 [Article]


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