What Do Fund Flows Reveal about Asset Pricing Models and Investor Sophistication?
(2020)
Journal Article
Jegadeesh, N., & Mangipudi, C. S. (2020). What Do Fund Flows Reveal about Asset Pricing Models and Investor Sophistication?. Review of Financial Studies, https://doi.org/10.1093/rfs/hhaa045
Recent evidence indicates that market model alphas are stronger predictors of mutual fund flows than alphas with other models. Some recent papers have interpreted this evidence to mean that CAPM is the best asset pricing model, but some others have i... Read More about What Do Fund Flows Reveal about Asset Pricing Models and Investor Sophistication?.