Which money is smart? Mutual fund buys and sells of individual and institutional investors

被引：128

作者：

Keswani, Aneel ^{[1
]}

Stolin, David ^{[2
]}

机构：

[1] Cass Business Sch, London, England

[2] Toulouse Business Sch, Toulouse, France

来源：

JOURNAL OF FINANCE | 2008年 / 63卷 / 01期

关键词：

D O I：

10.1111/j.1540-6261.2008.01311.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Gruber (1996) and Zheng (1999) report that investors channel money toward mutual funds that subsequently perform well. Sapp and Tiwari (2004) find that this "smart money" effect no longer holds after controlling for stock return momentum. While prior work uses quarterly U.S. data, we employ a British data set of monthly fund inflows and outflows differentiated between individual and institutional investors. We document a robust smart money effect in the United Kingdom. The effect is caused by buying (but not selling) decisions of both individuals and institutions. Using monthly data available post-1991 we show that money is comparably smart in the United States.

引用

页码：85 / 118

页数：34

共 17 条

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