Are mutual funds sitting ducks?

• 成果类型: Article
• 署名作者: Shive, Sophie; Yun, Hayong
• 署名单位: University of Notre Dame
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.08.012
• 发表日期: 2013
• 页码: 220-237
• 关键词: mutual funds; Hedge funds; Anticipatory trading

摘要

We find that patient traders profit from the predictable, flow-induced trades of mutual funds. In anticipation of a 1%-of-volume change in mutual fund flows into a stock next quarter, the institutions in the same 13F category as hedge funds trade 0.29-0.45% of volume in the current quarter. A third of the trading is associated with the subset of 504 identified hedge funds. The effect is stronger when quarterly mutual fund portfolio disclosure is required and among hedge funds with more patient capital. A one standard deviation higher measure of anticipatory trading by a hedge fund is associated with a 0.9% higher annualized four-factor alpha. A one standard deviation higher measure of anticipation of a mutual fund's trades by institutions is associated with a 0.07-0.15% lower annualized four-factor alpha. The effect is stronger for more constrained mutual funds. (C) 2012 Elsevier B.V. All rights reserved.