Which money is smart? Mutual fund buys and sells of individual and institutional investors

• 成果类型: Article
• 署名作者: Keswani, Aneel; Stolin, David
• 署名单位: City St Georges, University of London; Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; TBS Education
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01311.x
• 发表日期: 2008
• 页码: 85-118
• 关键词: performance; returns; FLOWS; strategies; industry; stocks; size

摘要

Gruber (1996) and Zheng (1999) report that investors channel money toward mutual funds that subsequently perform well. Sapp and Tiwari (2004) find that this smart money effect no longer holds after controlling for stock return momentum. While prior work uses quarterly U.S. data, we employ a British data set of monthly fund inflows and outflows differentiated between individual and institutional investors. We document a robust smart money effect in the United Kingdom. The effect is caused by buying (but not selling) decisions of both individuals and institutions. Using monthly data available post-1991 we show that money is comparably smart in the United States.