Do Fund Managers Make Informed Asset Allocation Decisions?

Risk Shifting and Mutual Fund Performance

“…1 The literature on the investment ability of mutual fund managers includes Treynor and Mazuy (1966), Jensen (1968), Henriksson and Merton (1981), Grinblatt and Titman (1993), Brown and Goetzmann (1995), Ferson and Schadt (1996), Carhart (1997), Busse (1999), Daniel, Grinblatt, Titman, and Wermers (1997), Wermers (2000), Baks, Metrick, and Wachter (2001), Bollen and Busse (2001), Coval and Moskowitz (2001), Jiang (2003), Berk and Green (2004), Chen, Hong, Huang, and Kubik (2004), Cohen, Coval, and Pastor (2005), Kacperczyk, Sialm, and Zheng (2005), Gaspar, Massa, and Matos (2006), Kosowski, Timmermann, Wermers, and White (2006), Jiang, Yao, and Yu (2007), Kacperczyk and Seru (2007), Mamaysky, Spiegel, and Zhang (2007), Breon-Drish and Sagi (2008), Cohen, Frazzini, and Malloy (2008), Cohen, Polk, and Silli (2008), Cremers and Petajisto (2008), Da, Gao, and Jagannathan (2008), Kacperczyk, Sialm, and Zheng (2008), Koijen (2008) 2 Additional papers on the flow-performance relation and on risk shifting include Starks (1987), Ippolito (1992), Grinblatt and Titman (1989), Goetzmann and Peles (1997), Sirri and Tufano (1998), Koski and Pontiff (1999), Zheng (1999…”