On the Style-Based Feedback Trading of Mutual Fund Managers

被引：22

作者：

Frijns, Bart ^{[1
]}

Gilbert, Aaron ^{[1
]}

Zwinkels, Remco C. J. ^{[2
,3
]}

机构：

[1] Auckland Univ Technol, Sch Business, Auckland, New Zealand

[2] Vrije Univ Amsterdam, Fac Econ & Business Adm, NL-1081 HV Amsterdam, Netherlands

[3] Tinbergen Inst, Amsterdam, Netherlands

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2016年 / 51卷 / 03期

关键词：

INVESTORS; BEHAVIOR; RETURNS; PERFORMANCE; STRATEGIES; MOMENTUM; FLOWS;

D O I：

10.1017/S0022109016000454

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the style-based feedback trading behavior of U.S. mutual fund managers. We provide an empirical version of Barberis and Shleifer's style-switching model. We find style-based feedback trading for 77% of the funds, half of which is positive (negative) feedback trading. There is evidence for "twin style" switching, where capital is channeled between value and growth, and between large-and small-cap. Growth (value) funds apply more positive (negative) feedback trading. Funds that switch more aggressively are younger and have higher expense ratios. Finally, we find that positive (negative) feedback trading yields positive (negative) alpha.

引用

页码：771 / 800

页数：30

共 31 条

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Annaert Jan., 2007, Review of Finance, V11, P633

[2] Do the portfolios of small investors reflect positive feedback trading? [J].