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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26522
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| Title: | Can mutual fund managers pick stocks? Evidence from their trades prior
to earnings announcements |
| Authors: | Baker, Malcolm
Litov, Lubomir
Wachter, Jessica A.
Wurgler, Jeffrey |
| Issue Date: | 28-Jul-2004 |
| Series/Report no.: | FIN-04-015 |
| Abstract: | We test whether fund managers have stock-picking skill by comparing
their holdings and trades prior to earnings announcements with the
returns realized at those events. This approach largely avoids the
joint-hypothesis problem with long-horizon studies of fund performance.
Consistent with skilled trading, we find that, on average, stocks that
funds buy earn significantly higher returns at subsequent earnings
announcements than stocks that they sell. Funds display persistence in
our event return-based metrics, and those that do well tend to have a
growth objective, large size, high turnover, and use incentive fees to
motivate managers. |
| URI: | http://hdl.handle.net/2451/26522 |
| Appears in Collections: | Finance Working Papers
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