Does motivation matter when assessing trade performance? An analysis of mutual funds

• 成果类型: Article
• 署名作者: Alexander, Gordon J.; Cici, Gjergji; Gibson, Scott
• 署名单位: William & Mary; University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhl008
• 发表日期: 2007
• 页码: 125
• 关键词: information; persistence; benchmarks; EFFICIENCY; liquidity

摘要

We relate the performance of mutual fund trades to their motivation. A fund manager who buys stocks when there are heavy investor outflows is likely to be motivated by the belief that the stocks are significantly undervalued. In contrast, when there are heavy inflows, the manager is likely to be motivated to work off excess liquidity by buying stocks. Our analysis reveals that managers making purely valuation-motivated purchases substantially beat the market but are unable to do so when compelled to invest excess cash from investor inflows. A similar, but weaker, pattern is found for stocks that are sold. (JEL G11, G29)