Smart money, dumb money, and capital market anomalies

• 成果类型: Article
• 署名作者: Akbas, Ferhat; Armstrong, Will J.; Sorescu, Sorin; Subrahmanyam, Avanidhar
• 署名单位: University of Kansas; Texas Tech University System; Texas Tech University; Texas A&M University System; Texas A&M University College Station; Mays Business School; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.07.003
• 发表日期: 2015
• 页码: 355-382
• 关键词: Stock return anomalies; Mutual funds; Hedge funds; Fund flows; Mispricing

摘要

We investigate the dual notions that dumb money exacerbates well-known stock return anomalies and smart money attenuates these anomalies. We find that aggregate flows to mutual funds (dumb money) appear to exacerbate cross-sectional mispricing, particularly for growth, accrual, and momentum anomalies. In contrast, hedge fund flows (smart money) appear to attenuate aggregate mispricing. Our results suggest that aggregate flows to mutual funds can have real adverse allocation effects in the stock market and that aggregate flows to hedge funds contribute to the correction of cross-sectional mispricing. (C) 2015 Elsevier B.V. All rights reserved.