Do actively managed mutual funds exploit stock market mispricing?
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lee Jaeram | - |
dc.contributor.author | Jeon H. | - |
dc.contributor.author | Kang J. | - |
dc.contributor.author | Lee C. | - |
dc.date.available | 2020-07-06T02:35:45Z | - |
dc.date.created | 2020-04-16 | - |
dc.date.issued | 2020-07 | - |
dc.identifier.issn | 1062-9408 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/61763 | - |
dc.description.abstract | Constructing a proxy for mispricing with 15 well-known stock market anomalies, we examine whether actively managed mutual funds exploit mispricing. We find that, in the aggregate, mutual funds overweight overvalued stocks and underweight undervalued stocks relative to a passive benchmark, and this tendency is explained by the ill-motivated trades of agency-prone fund managers. In addition, we find that mutual funds with the highest weights in undervalued stocks outperform those with the highest weights in overvalued stocks by an annualized three-factor alpha of 2.12% (t = 2.38), implying that slanting portfolios based on our proxy helps mutual funds improve performance. © 2020 Elsevier Inc. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | Elsevier Inc. | - |
dc.relation.isPartOf | North American Journal of Economics and Finance | - |
dc.title | Do actively managed mutual funds exploit stock market mispricing? | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000541539200008 | - |
dc.identifier.doi | 10.1016/j.najef.2020.101189 | - |
dc.identifier.bibliographicCitation | North American Journal of Economics and Finance, v.53 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.scopusid | 2-s2.0-85082406002 | - |
dc.citation.title | North American Journal of Economics and Finance | - |
dc.citation.volume | 53 | - |
dc.contributor.affiliatedAuthor | Lee Jaeram | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | Anomalies | - |
dc.subject.keywordAuthor | Managerial skill | - |
dc.subject.keywordAuthor | Mispricing | - |
dc.subject.keywordAuthor | Mutual funds | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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