What Drives Short-Sale Strategies? New Evidence from Mutual Fund Trades

2016 ◽  
Author(s):  
Salman Arif ◽  
Azi Ben-Rephael ◽  
Charles M.C. Lee
Keyword(s):  
Mutual Fund ◽  
Short Sale ◽  
New Evidence

scholarly journals Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis

2006 ◽  
Vol 61 (6) ◽  
pp. 2551-2595 ◽  
Author(s):  
ROBERT KOSOWSKI ◽  
ALLAN TIMMERMANN ◽  
RUSS WERMERS ◽  
HAL WHITE
Keyword(s):  
Mutual Fund ◽  
Bootstrap Analysis ◽  
New Evidence

Individual investors' responses to mutual fund fire sales and sell-side analysts' price-correcting revisions

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Jinglin Jiang ◽  
Weiwei Wang
Keyword(s):  
Mutual Fund ◽  
Individual Investors ◽  
Earnings Forecast ◽  
Content Type ◽  
Forecast Revisions ◽  
Fire Sales ◽  
Informed Traders ◽  
Trading Decisions ◽  
Information Event ◽  
New Evidence

PurposeThis paper investigates individual investors' responses to stock underpricing and how their trading decisions are affected by analysts' forecasts and recommendations.Design/methodology/approachThis empirical study uses mutual fund fire sales as an exogenous source that causes stock underpricing and analysts' forecasts and recommendations as price-correcting information. The study further uses regression analysis to examine individual investors' responses to fire sales and how their responses vary with price-correcting information.FindingsThe authors first show that individual investors respond to mutual fund fire sales by significantly decreasing net buys, and this effect appears to be prolonged. Next, the authors find that the decrease of net buys diminishes following analysts' price-correcting earnings forecast revisions and stock recommendation changes. Hence, the authors suggest that individual investors are not “wise” enough to recognize flow-driven underpricing; however, this response is weakened by analysts' price-correcting information.Originality/valueThere is an ongoing debate in the literature about whether individual investors should be portrayed as unsophisticated traders or informed traders who can predict future returns. The authors study a unique information event and provide new evidence related to both perspectives. Overall, our evidence suggests that the “unsophisticated traders” perspective is predominant, whereas a better information environment significantly reduces individual investors' information disadvantage. This finding could be of interest to both academic researchers and regulators.

scholarly journals The Ethical Mutual Fund Performance Debate: New Evidence from Canada

2006 ◽  
Vol 70 (2) ◽  
pp. 111-124 ◽  
Author(s):  
Rob Bauer ◽  
Jeroen Derwall ◽  
Rogér Otten
Keyword(s):  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
New Evidence

scholarly journals New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods

2017 ◽  
Vol 52 (3) ◽  
pp. 1279-1299 ◽  
Author(s):  
David Blake ◽  
Tristan Caulfield ◽  
Christos Ioannidis ◽  
Ian Tonks
Keyword(s):  
Confidence Intervals ◽  
Mutual Fund ◽  
Cross Correlation ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Bootstrap Methods ◽  
Fund Managers ◽  
Mutual Fund Manager ◽  
New Evidence ◽  
Over Time

We compare two bootstrap methods for assessing mutual fund performance. The first produces narrow confidence intervals due to pooling over time, whereas the second produces wider confidence intervals because it preserves the cross correlation of fund returns. We then show that the average U.K. equity mutual fund manager is unable to deliver outperformance net of fees under either bootstrap. Gross of fees, 95% of fund managers on the basis of the first bootstrap and all fund managers on the basis of the second bootstrap fail to outperform the luck distribution of gross returns.

Mutual Fund Tournaments: The Sorting Bias and New Evidence

2011 ◽  
Vol 25 (3) ◽  
pp. 913-936 ◽  
Author(s):  
Christopher G. Schwarz
Keyword(s):  
Mutual Fund ◽  
New Evidence
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