Fund manager skill in an era of globalization: Offshore concentration and fund performance

• 成果类型: Article
• 署名作者: Bai, John Jianqiu; Tang, Yuehua; Wan, Chi; Yuksel, H. Zafer
• 署名单位: Northeastern University; State University System of Florida; University of Florida; University of Massachusetts System; University of Massachusetts Boston; University of Rhode Island
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.07.012
• 发表日期: 2022
• 页码: 18-40
• 关键词: mutual funds; Manager skill; Offshore concentration; FUND PERFORMANCE; multinational firms; Textual analysis

摘要

We study how mutual fund managers gain an edge in selecting stocks in an era of globalization. We use textual analysis to construct a measure that captures a mutual fund's offshore exposure concentration through holding US multinational firms. We find that funds with a higher offshore concentration index (OCI) perform significantly better, with the difference in four-factor alpha between the top and bottom deciles amounting to 2.95% per annum. Fund managers' overweighting of firms with operations in certain countries can be partly attributed to their foreign ethnicity. High OCI fund managers have an information advantage regarding firms' fundamentals, such as earnings. (C) 2021 Published by Elsevier B.V.