Are Investors Rational ? Choices Among Index Funds  

Oleh:

Elton, Edwin J. ; Busse, Jeffrey A. ; Gruber, Martin J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 1 (Feb. 2004), page 261-268.
Topik: investors; index funds; rational expectations; investment policy; studies; economic theory; statistical analysis
Fulltext: p 261.pdf (129.09KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Since S&P index funds are a commodity that differ from each other principally in price, they represent one of the simplest vehicles for examining investor rationality under the assumption of frictionless markets. Although all of these funds hold the same securities in virtually identical percentages, they have substantial differences in fees and returns that investors should find economically significant. It is shown that although cash flows are related to performance, the relationship, while statistically significant, is much weaker than would be expected based on rational behavior in frictionless markets, the classical paradigm of financial economics. It is shown that investors who buy index funds are not among the most knowledgeable of all investors and they do not make their allocations among index funds to maximize their economic payoff. Other research questions the classic paradigm of financial economics.

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