Fund manager skill in an era of globalization: Offshore concentration and fund performance

被引：11

作者：

Bai, John Jianqiu ^{[1
]}

Tang, Yuehua ^{[2
]}

Wan, Chi ^{[3
]}

Yuksel, H. Zafer ^{[4
]}

机构：

[1] Northeastern Univ, DAmore McKim Sch Business, Boston, MA 02115 USA

[2] Univ Florida, Warrington Coll Business, Gainesville, FL 32611 USA

[3] Univ Massachusetts, Coll Management, Boston, MA 02125 USA

[4] Univ Rhode Isl, Coll Business, Kingston, RI 02412 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2022年 / 145卷 / 02期

关键词：

Mutual funds; Manager skill; Offshore concentration; Fund performance; Multinational firms; Textual analysis; MUTUAL FUNDS; CULTURAL PROXIMITY; DOMESTIC INVESTORS; INFORMATION; RISK; INVESTMENT; TRADES; EXPERIENCE; RETURNS; QUALITY;

D O I：

10.1016/j.jfineco.2021.07.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study how mutual fund managers gain an edge in selecting stocks in an era of globalization. We use textual analysis to construct a measure that captures a mutual fund's offshore exposure concentration through holding US multinational firms. We find that funds with a higher offshore concentration index (OCI) perform significantly better, with the difference in four-factor alpha between the top and bottom deciles amounting to 2.95% per annum. Fund managers' overweighting of firms with operations in certain countries can be partly attributed to their foreign ethnicity. High OCI fund managers have an information advantage regarding firms' fundamentals, such as earnings. (C) 2021 Published by Elsevier B.V.

引用

页码：18 / 40

页数：23

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