Conference paper
Selectivity, Style, Sentiment and Skill in Mutual Fund Trades
Australian School of Business at University of New South Wales
The 23rd Australasian Finance and Banking Conference (The University of New South Wales, Sydney, Australia, 14/12/2010)
2010
Abstract
Fund managers can only exhibit selectivity through purchasing (selling) stocks that appreciate (depreciate) more frequently than expected from random occurrence, if stocks are incorrectly priced. We develop a method that can statistically identify fund managers that exhibit net, buy, and sell selectivity in their trades, as well as distinguish manager skill from fortuitous stock selection. Stock investor sentiment betas are calculated from the recently developed investor sentiment index, and used to indicate stock mispricing. We find that superior stock selection is concentrated in funds that hold high sentiment beta stocks; the major constituent of funds with the aggressive growth objective.
Details
- Title
- Selectivity, Style, Sentiment and Skill in Mutual Fund Trades
- Authors/Creators
- G. Cullen (Author/Creator)D. Gasbarro (Author/Creator)K-S. Le (Author/Creator)G.S. Monroe (Author/Creator)
- Conference
- The 23rd Australasian Finance and Banking Conference (The University of New South Wales, Sydney, Australia, 14/12/2010)
- Publisher
- Australian School of Business at University of New South Wales
- Identifiers
- 991005545034907891
- Copyright
- The authors
- Murdoch Affiliation
- Do not use- Former Murdoch Business School
- Language
- English
- Resource Type
- Conference paper
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