Optimal information production of mutual funds: Evidence from China

被引：4
|
作者：
Chi, Yeguang [1 ]
He, Jingbin [2 ]
Wu, Fei [3 ]
Yin, Bijiao [3 ]
机构：
[1] Univ Auckland, Business Sch, 12 Grafton Rd Sir Owen G Glenn Bldg, Auckland 1010, New Zealand
[2] Univ Elect Sci & Technol China, Sch Management & Econ, 2006 Xiyuan Ave, Chengdu 611731, Peoples R China
[3] Shanghai Jiao Tong Univ, Shanghai Adv Inst Finance, 211 West Huaihai Rd, Shanghai 200030, Peoples R China
来源：
JOURNAL OF BANKING & FINANCE | 2022年 / 143卷
关键词：
Mutual funds; Performance attribution; Value premium; Portfolio choice; INVESTORS; SIZE; RISK;
D O I：
10.1016/j.jbankfin.2022.106585
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study demonstrates that Chinese stock mutual funds exhibit persistent preference for growth stocks over value stocks. Despite the positive premium of value stocks over growth stocks, funds in aggregate manage to beat the market. Moreover, growth-oriented funds do not underperform their value-oriented peers. To solve these puzzles, we provide evidence for funds' superior skill in picking growth stocks over value stocks, and conclude that such skill helps explain their growth tilt. Furthermore, we show that mu-tual funds trade against the retail investors, more so in growth stocks than in value stocks. Coupled with our finding that retail investors make more mistakes trading growth stocks than trading value stocks, we conclude that mutual funds optimize their information production to focus more on growth stocks so as to maximize returns. (c) 2022 Elsevier B.V.
引用
收藏
页数：22
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