Uncommon Value: The Characteristics and Investment Performance of Contrarian Funds

• 成果类型: Article
• 署名作者: Wei, Kelsey D.; Wermers, Russ; Yao, Tong
• 署名单位: University of Texas System; University of Texas Dallas; University System of Maryland; University of Maryland College Park; University of Iowa
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2014.1982
• 发表日期: 2015
• 页码: 2394-2414
• 关键词: mutual funds; contrarian investing; herding behavior

摘要

Motivated by extant theories of herding behavior, this paper empirically identifies contrarian mutual funds as those trading most frequently against the crowd. We find that contrarian funds generate superior performance both when they trade against and with the herd, indicating that they possess superior private information. Furthermore, contrarians do not trade in a particularly correlated fashion with each other, consistent with these funds having disparate information. Our fund-level contrarian measure is largely unrelated to existing measures of fund strategy uniqueness, as both contrarian and herding funds score highly on such measures. Building on our finding of superior alphas for contrarian funds, we construct a stock-level contrarian score that reflects the aggregate stock selection information possessed by contrarian managers. This stock-level contrarian score significantly predicts stock returns after controlling for measures of stock-level herding, as well as a battery of return-predictive investment signals documented in prior studies.