학회소식
[2017년 제 4차] Mutual Funds and Mispriced Stocks
작성자 : 관리자
조회수 : 171
게시일 :
2017-12-08
We find strong and persistent cross-sectional differences in the propensity of active mutual funds to hold mispriced stocks. Funds with high propensity to hold overpriced stocks display poor stock-picking skills as they further purchase overpriced stocks during episodes of fund inflows and significantly underperform in subsequent periods. Intriguingly, overpriced funds attract considerable capital inflows when investor sentiment is high. The positive overpricing-flow relation is concentrated in funds with high marketing expenses and skewed returns. The evidence is consistent with an innocuous matching in the preference for stock characteristics by sentiment-driven managers and optimistic investors rather than active catering to investor preferences.
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