Dispersion in beliefs among active mutual funds and the cross-section of stock returns

• 成果类型: Article
• 署名作者: Jiang, Hao; Sun, Zheng
• 署名单位: Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Michigan State University; University of Texas System; University of Texas Austin; University of California System; University of California Irvine
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.06.003
• 发表日期: 2014
• 页码: 341-365
• 关键词: mutual funds; private information; Dispersion in beliefs; Short-sale constraints; asymmetric information

摘要

We propose a measure of dispersion in fund managers' beliefs about future stock returns based on their active holdings, i.e., deviations from benchmarks. We find that both the level of and the change in dispersion positively predict subsequent stock returns on a risk-adjusted basis. This effect is particularly pronounced among stocks with high information asymmetry and binding short-sale constraints. These results suggest that a subgroup of informed managers drives up the dispersion in active holdings when they place large bets after receiving positive private information. Binding short-sale constraints, however, prevent them from fully using their negative private information, leading to low dispersion in active holdings. (C) 2014 Elsevier B.V. All rights reserved.