首页 | 本学科首页   官方微博 | 高级检索  
     检索      


How smart is money? An investigation into investor behaviour in the Australian managed fund industry
Institution:1. Department of Accounting and Finance, Monash University, Clayton Campus, Victoria 3800, Melbourne, Australia;2. Strategy and Marketing Group, ANZ Banking Group Limited, Level 16, 100 Queen Street, VIC 3000, Melbourne, Australia;3. Department of Accounting and Finance, Monash University, Clayton Campus and Centre Associate, Melbourne Centre for Financial Studies, Melbourne, Australia
Abstract:Gruber Gruber, M., 1996. Another puzzle: the growth in actively managed mutual funds. Journal of Finance 51, 783–810] and Zheng Zheng, L., 1999. Is money smart? A study of mutual fund investors’ fund selection ability. Journal of Finance 54, 901–933] document that managed fund investors demonstrate fund selection ability as they invest in funds whose subsequent performance is greater than that of funds from which they divest. This phenomenon has been since been termed the ‘smart money effect’. In contrast, Sapp and Tiwari Sapp, T., Tiwari, A., 2004. Does stock return momentum explain the ‘smart money’ effect? Journal of Finance 59, 2605–2622] find that after controlling for stock return momentum, there is no evidence of a smart money effect. In this paper, we investigate whether a smart money effect exists in the Australian managed funds industry. The key findings of our paper are that there is a smart money effect in Australia and that stock return momentum does not explain this effect. We also find that the effect is not conditional on fund size. Our cross-sectional analysis indicates that investors are chasing funds that have performed well in the past and that cash flows to funds are persistent. However, we do not find any evidence that investors are pursuing funds that employ momentum trading strategies.
Keywords:
本文献已被 ScienceDirect 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号