Dispersion in beliefs among active mutual funds and the cross-section of stock returns
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jfineco.2014.06.003
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Kenneth R. French, 2008. "Presidential Address: The Cost of Active Investing," Journal of Finance, American Finance Association, vol. 63(4), pages 1537-1573, August.
- Kewei Hou, 2007. "Industry Information Diffusion and the Lead-lag Effect in Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1113-1138.
- Dimitri Vayanos & Paul Woolley, 2013.
"An Institutional Theory of Momentum and Reversal,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(5), pages 1087-1145.
- Dimitri Vayanos & Paul Woolley, 2008. "An Institutional Theory of Momentum and Reversal," NBER Working Papers 14523, National Bureau of Economic Research, Inc.
- Dimitri Vayanos & Paul Woolley, 2011. "An institutional Theory of Momentum and Reversal," FMG Discussion Papers dp666, Financial Markets Group.
- Vayanos, Dimitri & Woolley, Paul, 2011. "An institutional theory of momentum and reversal," LSE Research Online Documents on Economics 24423, London School of Economics and Political Science, LSE Library.
- Dimitri Vayanos & Paul Woolley, 2008. "An Institutional Theory of Momentum and Reversal," FMG Discussion Papers dp621, Financial Markets Group.
- Vayanos, Dimitri & Woolley, Paul, 2008. "An Institutional Theory of Momentum and Reversal," CEPR Discussion Papers 7068, C.E.P.R. Discussion Papers.
- Karl B. Diether & Christopher J. Malloy & Anna Scherbina, 2002. "Differences of Opinion and the Cross Section of Stock Returns," Journal of Finance, American Finance Association, vol. 57(5), pages 2113-2141, October.
- Lauren Cohen & Andrea Frazzini & Christopher Malloy, 2008.
"The Small World of Investing: Board Connections and Mutual Fund Returns,"
Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 951-979, October.
- Lauren Cohen & Andrea Frazzini & Christopher Malloy, 2007. "The Small World of Investing: Board Connections and Mutual Fund Returns," NBER Working Papers 13121, National Bureau of Economic Research, Inc.
- Paul A. Gompers & Andrew Metrick, 2001.
"Institutional Investors and Equity Prices,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 116(1), pages 229-259.
- Paul A. Gompers & Andrew Metrick, "undated". "Institutional Investors and Equity Prices," Rodney L. White Center for Financial Research Working Papers 20-99, Wharton School Rodney L. White Center for Financial Research.
- Paul A. Gompers & Andrew Metrick, 1998. "Institutional Investors and Equity Prices," NBER Working Papers 6723, National Bureau of Economic Research, Inc.
- Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2008.
"Unobserved Actions of Mutual Funds,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2379-2416, November.
- Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "Unobserved Actions of Mutual Funds," NBER Working Papers 11766, National Bureau of Economic Research, Inc.
- Marcin Kacperczyk & Amit Seru, 2007. "Fund Manager Use of Public Information: New Evidence on Managerial Skills," Journal of Finance, American Finance Association, vol. 62(2), pages 485-528, April.
- Grossman, Sanford J & Stiglitz, Joseph E, 1980.
"On the Impossibility of Informationally Efficient Markets,"
American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
- Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
- Gaspar, Jose-Miguel & Massa, Massimo & Matos, Pedro, 2005. "Shareholder investment horizons and the market for corporate control," Journal of Financial Economics, Elsevier, vol. 76(1), pages 135-165, April.
- Eugene F. Fama & Kenneth R. French, 2008. "Dissecting Anomalies," Journal of Finance, American Finance Association, vol. 63(4), pages 1653-1678, August.
- Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2002.
"Breadth of ownership and stock returns,"
Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 171-205.
- Joseph Chen & Harrison Hong & Jeremy C. Stein, 2001. "Breadth of Ownership and Stock Returns," NBER Working Papers 8151, National Bureau of Economic Research, Inc.
- K. J. Martijn Cremers & Antti Petajisto, 2009. "How Active Is Your Fund Manager? A New Measure That Predicts Performance," The Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3329-3365, September.
- La Porta, Rafael, et al, 1997.
"Good News for Value Stocks: Further Evidence on Market Efficiency,"
Journal of Finance, American Finance Association, vol. 52(2), pages 859-874, June.
- Rafael La Porta & Josef Lakonishok & Andrei Shleifer & Robert Vishny, 1995. "Good News for Value Stocks: Further Evidence on Market Efficiency," NBER Working Papers 5311, National Bureau of Economic Research, Inc.
- LaPorta, Rafael & Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert, 1997. "Good News for Value Stocks: Further Evidence on Market Efficiency," Scholarly Articles 30725119, Harvard University Department of Economics.
- Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Pastor, Lubos & Stambaugh, Robert F., 2003.
"Liquidity Risk and Expected Stock Returns,"
Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
- Luboš Pástor & Robert F. Stambaugh, "undated". "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pastor & Robert F. Stambaugh, 2001. "Liquidity Risk and Expected Stock Returns," NBER Working Papers 8462, National Bureau of Economic Research, Inc.
- Stambaugh, Robert F. & Pástor, Luboš, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
- Daniel, Kent, et al, 1997. "Measuring Mutual Fund Performance with Characteristic-Based Benchmarks," Journal of Finance, American Finance Association, vol. 52(3), pages 1035-1058, July.
- Jonathan B. Berk & Richard C. Green, 2004.
"Mutual Fund Flows and Performance in Rational Markets,"
Journal of Political Economy, University of Chicago Press, vol. 112(6), pages 1269-1295, December.
- Jonathan B. Berk & Richard C. Green, 2002. "Mutual Fund Flows and Performance in Rational Markets," NBER Working Papers 9275, National Bureau of Economic Research, Inc.
- Jonathan B. Berk & Richard C. Green, 2002. "Mutual Fund Flows and Performance in Rational Markets," FAME Research Paper Series rp100, International Center for Financial Asset Management and Engineering.
- Goetzmann, William N. & Massa, Massimo, 2005.
"Dispersion of opinion and stock returns,"
Journal of Financial Markets, Elsevier, vol. 8(3), pages 324-349, August.
- Goetzmann, William & Massa, Massimo, 2004. "Dispersion of Opinion and Stock Returns," CEPR Discussion Papers 4819, C.E.P.R. Discussion Papers.
- William N. Goetzmann & Massimo Massa, 2005. "Dispersion of Opinion and Stock Returns," Yale School of Management Working Papers ysm444, Yale School of Management.
- repec:bla:jfinan:v:53:y:1998:i:6:p:1839-1885 is not listed on IDEAS
- Martijn Cremers & Antti Petajisto, 2006. "How Active is Your Fund Manager? A New Measure That Predicts Performance," Yale School of Management Working Papers amz2370, Yale School of Management, revised 01 May 2009.
- Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005.
"On the Industry Concentration of Actively Managed Equity Mutual Funds,"
Journal of Finance, American Finance Association, vol. 60(4), pages 1983-2011, August.
- Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2004. "On the Industry Concentration of Actively Managed Equity Mutual Funds," NBER Working Papers 10770, National Bureau of Economic Research, Inc.
- Almazan, Andres & Brown, Keith C. & Carlson, Murray & Chapman, David A., 2004. "Why constrain your mutual fund manager?," Journal of Financial Economics, Elsevier, vol. 73(2), pages 289-321, August.
- Nagel, Stefan, 2005. "Short sales, institutional investors and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(2), pages 277-309, November.
- Hao Jiang & Marno Verbeek & Yu Wang, 2014. "Information Content When Mutual Funds Deviate from Benchmarks," Management Science, INFORMS, vol. 60(8), pages 2038-2053, August.
- Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2014.
"Time-Varying Fund Manager Skill,"
Journal of Finance, American Finance Association, vol. 69(4), pages 1455-1484, August.
- Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2011. "Time-Varying Fund Manager Skill," NBER Working Papers 17615, National Bureau of Economic Research, Inc.
- Veldkamp, Laura & Kacperczyk, Marcin & Van Nieuwerburgh, Stijn, 2012. "Time-Varying Fund Manager Skill," CEPR Discussion Papers 9025, C.E.P.R. Discussion Papers.
- Laura Veldkamp, 2012. "Time-varying fund manager skill," 2012 Meeting Papers 68, Society for Economic Dynamics.
- Ron Kaniel & Péter Kondor, 2013.
"The Delegated Lucas Tree,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(4), pages 929-984.
- Kaniel, Ron & Kondor, Péter, 2011. "The delegated Lucas tree," CEPR Discussion Papers 8578, C.E.P.R. Discussion Papers.
- Péter Kondor & Ron Kaniel, 2011. "The delegated Lucas tree," 2011 Meeting Papers 580, Society for Economic Dynamics.
- Jeremy C. Stein, 2009. "Presidential Address: Sophisticated Investors and Market Efficiency," Journal of Finance, American Finance Association, vol. 64(4), pages 1517-1548, August.
- Jonathan Reuter, 2006. "Are IPO Allocations for Sale? Evidence from Mutual Funds," Journal of Finance, American Finance Association, vol. 61(5), pages 2289-2324, October.
- Miller, Edward M, 1977. "Risk, Uncertainty, and Divergence of Opinion," Journal of Finance, American Finance Association, vol. 32(4), pages 1151-1168, September.
- Joshua D. Coval & Tobias J. Moskowitz, 2001. "The Geography of Investment: Informed Trading and Asset Prices," Journal of Political Economy, University of Chicago Press, vol. 109(4), pages 811-841, August.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Asquith, Paul & Pathak, Parag A. & Ritter, Jay R., 2005. "Short interest, institutional ownership, and stock returns," Journal of Financial Economics, Elsevier, vol. 78(2), pages 243-276, November.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- George, Thomas J & Kaul, Gautam & Nimalendran, M, 1991. "Estimation of the Bid-Ask Spread and Its Components: A New Approach," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 623-656.
- Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
- Gintschel, Andreas & Markov, Stanimir, 2004. "The effectiveness of Regulation FD," Journal of Accounting and Economics, Elsevier, vol. 37(3), pages 293-314, September.
- Jon A. Garfinkel, 2009. "Measuring Investors' Opinion Divergence," Journal of Accounting Research, Wiley Blackwell, vol. 47(5), pages 1317-1348, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hao Jiang & Marno Verbeek & Yu Wang, 2014. "Information Content When Mutual Funds Deviate from Benchmarks," Management Science, INFORMS, vol. 60(8), pages 2038-2053, August.
- Lan, Chunhua & Moneta, Fabio & Wermers, Russ, 2018. "Holding Horizon: A New Measure of Active Investment Management," CFR Working Papers 15-06, University of Cologne, Centre for Financial Research (CFR), revised 2018.
- Bai, John Jianqiu & Tang, Yuehua & Wan, Chi & Yüksel, H. Zafer, 2022. "Fund manager skill in an era of globalization: Offshore concentration and fund performance," Journal of Financial Economics, Elsevier, vol. 145(2), pages 18-40.
- Jiang, Hao & Verardo, Michela, 2013. "Does herding behavior reveal skill? An analysis of mutual fund performance," LSE Research Online Documents on Economics 119034, London School of Economics and Political Science, LSE Library.
- Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
- Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2016. "A review of behavioural and management effects in mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 162-176.
- Cai, Yu & Lau, Sie Ting, 2015. "Informed trading around earnings and mutual fund alphas," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 168-180.
- Hao Jiang & Michela Verardo, "undated". "Does herding behavior reveal skill? An analysis of mutual fund performance," FMG Discussion Papers dp720, Financial Markets Group.
- Suresh Nallareddy & Maria Ogneva, 2017. "Accrual quality, skill, and the cross-section of mutual fund returns," Review of Accounting Studies, Springer, vol. 22(2), pages 503-542, June.
- Viktoriya Lantushenko & Edward Nelling, 2020. "New Positions in Mutual Fund Portfolios: Implications for Fund Alpha," Journal of Financial Services Research, Springer;Western Finance Association, vol. 58(2), pages 161-198, December.
- Gupta-Mukherjee, Swasti, 2013. "When active fund managers deviate from their peers: Implications for fund performance," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1286-1305.
- Jing Xie, 2024. "Stock-Picking by Mutual Funds: Evidence from Trading in Family-Controlled Firms," Working Papers 202411, University of Macau, Faculty of Business Administration.
- Swasti Gupta‐Mukherjee & Ankur Pareek, 2020. "Limited attention and portfolio choice: The impact of attention allocation on mutual fund performance," Financial Management, Financial Management Association International, vol. 49(4), pages 1083-1125, December.
- Mohammad (Vahid) Irani & Hugh Hoikwang Kim, 2023. "The consequences of non‐trading institutional investors," Financial Management, Financial Management Association International, vol. 52(3), pages 433-481, September.
- Ľuboš Pástor & Robert F. Stambaugh & Lucian A. Taylor, 2017.
"Do Funds Make More When They Trade More?,"
Journal of Finance, American Finance Association, vol. 72(4), pages 1483-1528, August.
- Stambaugh, Robert F. & Pástor, Luboš & Taylor, Lucian, 2014. "Do Funds Make More When They Trade More?," CEPR Discussion Papers 10261, C.E.P.R. Discussion Papers.
- Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor, 2014. "Do Funds Make More When They Trade More?," NBER Working Papers 20700, National Bureau of Economic Research, Inc.
- Dahm, Laura K. & Sorhage, Christoph, 2015. "Milk or wine: Mutual funds' (dis)economies of life," CFR Working Papers 15-05, University of Cologne, Centre for Financial Research (CFR).
- Russ Wermers & Tong Yao & Jane Zhao, 2012.
"Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings,"
The Review of Financial Studies, Society for Financial Studies, vol. 25(12), pages 3490-3529.
- Wermers, Russ & Yao, Tong & Zhao, Jane, 2012. "Forecasting stock returns through an efficient aggregation of mutual fund holdings," CFR Working Papers 06-09 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Tuneshev, Ruslan, 2018. "Differences in options investors’ expectations and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 315-336.
- Jiang, Hao, 2010. "Institutional investors, intangible information, and the book-to-market effect," Journal of Financial Economics, Elsevier, vol. 96(1), pages 98-126, April.
- Lee, John Byong-Tek & Ma, Jun & Margaritis, Dimitris & Yang, Wanyi, 2023. "Is anti-herding always a smart choice? Evidence from mutual funds," International Review of Financial Analysis, Elsevier, vol. 90(C).
More about this item
Keywords
Mutual funds; Private information; Dispersion in beliefs; Short-sale constraints; Asymmetric information;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jfinec:v:114:y:2014:i:2:p:341-365. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505576 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.