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• W1576676775 abstract "In the context of a theoretical model for the interaction between an active fund manager and a risk-averse investor, we show that mutual fund fees should exhibit a positive concave dependence on their idiosyncratic volatilities. The crucial ingredients are the infeasibility of short-selling the fund, and the fact that its idiosyncratic volatility generates uncertainty about its performance. Our empirical investigations provide strong support for this result. In fact, idiosyncratic volatility appears to be the most important determinant of mutual fund fees. Moreover, we demonstrate that when it is included as an explanatory variable in cross-sectional regressions, the widely-reported negative dependence of fees on performance dissipates. Significantly, our resolution for this puzzle does not require assumptions of investor unsophistication or fund manager opportunism. In fact, we provide positive evidence for a certain amount of investor sophistication, by demonstrating their apparent unwillingness to pay active fees for passive performance, as predicted by our model." @default.
• W1576676775 created "2016-06-24" @default.
• W1576676775 creator A5026310356 @default.
• W1576676775 creator A5055870750 @default.
• W1576676775 date "2013-01-01" @default.
• W1576676775 modified "2023-09-25" @default.
• W1576676775 title "The Impact of Idiosyncratic Risk on Mutual Fund Fees" @default.
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• W1576676775 doi "https://doi.org/10.2139/ssrn.2234168" @default.
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