Mutual Fund Herding, Short-Sales Constraints, and Stock Returns: A New Anomaly

2011 ◽  
Author(s):  
Ligang Zhong
Keyword(s):  
Stock Returns ◽  
Mutual Fund ◽  
Short Sales

Style and Skill: Hedge Funds, Mutual Funds, and Momentum

2020 ◽  
Vol 66 (12) ◽  
pp. 5505-5531 ◽  
Author(s):  
Mark Grinblatt ◽  
Gergana Jostova ◽  
Lubomir Petrasek ◽  
Alexander Philipov
Keyword(s):  
Mutual Funds ◽  
Hedge Funds ◽  
Mutual Fund ◽  
Hedge Fund ◽  
Fund Performance ◽  
Short Sales ◽  
Fund Managers ◽  
Liquidity Provision ◽  
Stock Picking ◽  
Hedge Fund Performance

Classifying mandatory 13F stockholding filings by manager type reveals that hedge fund strategies are mostly contrarian, and mutual fund strategies are largely trend following. The only institutional performers—the two thirds of hedge fund managers that are contrarian—earn alpha of 2.4% per year. Contrarian hedge fund managers tend to trade profitably with all other manager types, especially when purchasing stocks from momentum-oriented hedge and mutual fund managers. Superior contrarian hedge fund performance exhibits persistence and stems from stock-picking ability rather than liquidity provision. Aggregate short sales further support these conclusions about the style and skill of various fund manager types. This paper was accepted by Tyler Shumway, finance.

scholarly journals Effect of F Score on Stock Performance: Evidence from Indian Equity Market

2017 ◽  
Vol 9 (2) ◽  
pp. 89
Author(s):  
Trilochan Tripathy ◽  
Bijon Pani
Keyword(s):  
Stock Returns ◽  
Mutual Fund ◽  
Indian Market ◽  
Stock Valuation ◽  
Stock Performance ◽  
Return On Equity ◽  
Value Investing ◽  
Fund Managers ◽  
The Individual ◽  
The Impact

This study seeks to examine whether value investing strategy based on F Score when applied to high book to market firms can significantly shift the current and future stock performance in favour of the investor in the Indian market. The study engages the panel data model to analyse the impact of high F Score on contemporaneous and future stock returns (Rt and Rt+1), return on equity (ROEt and ROEt+1) and market to book value (MTBVt and MTBVt+1) as stock performance measures. The study concludes that high book to market firms with high F Score can shift the distribution of contemporaneous and future stock performances in favour of investors in the Indian market. However such observation is most prominent and statistically significant at higher level when applied to future stock valuation measures than the future stock return as measures of stock performance. The outcome of the study would no doubt help the individual value investors, mutual fund managers and value investing strategists who have presence in the Indian market.

scholarly journals Investing in the “New Economy”: Mutual Fund Performance and the Nature of the Firm

2014 ◽  
Vol 49 (1) ◽  
pp. 165-191 ◽  
Author(s):  
Swasti Gupta-Mukherjee
Keyword(s):  
Stock Returns ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Small Firms ◽  
Negative Impact ◽  
New Economy ◽  
Fund Performance ◽  
Learning From Experience ◽  
Fund Managers ◽  
Physical Assets

AbstractAlthough stock returns of intangibles-intensive firms tend to exceed physical assets-intensive firms, risk-adjusted returns of actively managed mutual funds significantly decrease (increase) with their portfolios’ exposure to intangibles-intensive (physical assets-intensive) firms. Fund managers tend to exhibit skill when they focus on difficult-to-value (e.g., small) firms, except when the firms are intangibles-intensive. In sum, the worst-performing funds are in areas of the market that seem to offer ample opportunities for professional investors due to exacerbated mispricing. The negative impact of investments in intangibles-intensive firms on fund performance appears to be driven by extrapolation bias and decreases with learning from experience.

Mutual fund herding its impact on stock returns: Evidence from the Taiwan stock market

2010 ◽  
Vol 18 (5) ◽  
pp. 477-493 ◽  
Author(s):  
Weifeng Hung ◽  
Chia-Chi Lu ◽  
Cheng F. Lee
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Mutual Fund

scholarly journals After-Hours Block Trading, Short Sales, And Information Leakage: Evidence From Korea

2017 ◽  
Vol 33 (2) ◽  
pp. 263-282 ◽  
Author(s):  
Taehoon Lee ◽  
Sang-gyung Jun
Keyword(s):  
Stock Returns ◽  
Insider Trading ◽  
Private Information ◽  
Stock Price ◽  
Stock Return ◽  
Governance Structure ◽  
Sales Volume ◽  
Short Sales ◽  
After Hours ◽  
The Impact

We investigate the impact of insider trading in after-hours block market on stock price and short sales volume, before and after the trading becomes public information. During pre-announcement period, positive (negative) abnormal stock return is generated when insiders buy (sell) their shares but does not when quasi-insiders trade, implying that stock price reflects long-lived private information of corporate governance structure. The impact is most prominent when ownership shares are transferred to (from) corporate insiders. In contrast, short sales volume generally does not depend on the identity of block holders. Short sales volume has a negative correlation with abnormal stock return only during the transaction date, indicating that a short-sale decision of tippees is based on their sole expectation on instantaneous stock returns. We also find evidence that insiders select the timing of their trades with respect to maximizing their realized profits or minimizing their purchasing costs. 

Sign in / Sign up

Export Citation Format

Share Document