Preferences for stock characteristics as revealed by mutual fund portfolio holdings

• 成果类型: Article
• 署名作者: Falkenstein, EG
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329304
• 发表日期: 1996
• 页码: 111-135
• 关键词: least-squares estimation; COMPUTED RETURNS; simple-model; biases

摘要

This investigation of the cross-section of mutual fund equity holdings for the years 1991 and 1992 shows that mutual funds have a significant preference towards stocks with high visibility and low transaction costs, and are averse to stocks with low idiosyncratic volatility. These findings are relevant to theories concerning investor recognition, a potential agency problem in mutual funds, tests of trend-following and herd behavior by mutual funds, and corporate finance.