Mutual Funds and Mispriced Stocks
Publication in refereed journal
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香港中文大學研究人員

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摘要We propose a new measure of fund investment skill, active fund overpricing (AFO), encapsulating the fund’s active share of investments, the direction of fund active bets with regard to mispriced stocks, and the dispersion of mispriced stocks in the fund’s investment opportunity set.We find that fund activeness is not sufficient for outperformance: high (low) AFO funds taking active bets on the wrong (right) side of stock mispricing achieve inferior (superior) fund performance. However, high AFO funds receive higher flows during periods of high investor sentiment, when the performance–flow relation becomes weaker.
出版社接受日期01.02.2019
著者Doron Avramov, Si Cheng, Allaudeen Hameed
期刊名稱Management Science
出版年份2019
國際標準期刊號0025-1909
電子國際標準期刊號1526-5501
語言美式英語

上次更新時間 2019-11-07 於 09:50