Mutual Funds and Mispriced Stocks

• 成果类型: Article
• 署名作者: Avramov, Doron; Cheng, Si; Hameed, Allaudeen
• 署名单位: Reichman University; Hebrew University of Jerusalem; Chinese University of Hong Kong; National University of Singapore
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3319
• 发表日期: 2020
• 页码: 2372-2395
• 关键词: mutual funds; Managerial skills; Mispricing

摘要

We propose a new measure of fund investment skill, active fund overpricing (AFO), encapsulating the fund's active share of investments, the direction of fund active bets with regard to mispriced stocks, and the dispersion of mispriced stocks in the fund's investment opportunity set. We find that fund activeness is not sufficient for outperformance: high (low) AFO funds taking active bets on the wrong (right) side of stock mispricing achieve inferior (superior) fund performance. However, high AFO funds receive higher flows during periods of high investor sentiment, when the performance-flow relation becomes weaker.