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Are Some Mutual Funds Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance

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Judith Chevalier
Glenn Ellison

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Abstract

In this paper we explore cross-sectional differences in the behavior and performance of mutual fund managers. In our simplest regression of a fund's market excess return on characteristics of its manager we find that younger managers earn much higher returns than older managers and that managers who attended colleges with higher average SAT scores earn much higher returns than do managers from less selective institutions. These differences appear to derive both from systematic differences in expense ratios and risk-taking behavior and from additional systematic differences in performance managers from higher SAT schools have higher risk-adjusted excess returns. Managers with the paper also presents a preliminary look at the labor market for mutual fund managers. Our data suggest that managerial turnover is more performance sensitive for younger managers

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 5852.

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Date of creation: Dec 1996
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Handle: RePEc:nbr:nberwo:5852

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Find related papers by JEL classification:
G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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  1. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June. [Downloadable!] (restricted)
  2. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July. [Downloadable!] (restricted)
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  3. Khorana, Ajay, 1996. "Top management turnover An empirical investigation of mutual fund managers," Journal of Financial Economics, Elsevier, vol. 40(3), pages 403-427, March. [Downloadable!] (restricted)
  4. William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers ysm451, Yale School of Management. [Downloadable!]
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  5. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(4), pages 553-80. [Downloadable!] (restricted)
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