Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings
Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings
复制标题
DOI：
10.1111/j.1540-6261.1996.tb05204.x
复制
发表时间：
1996-03
影响因子：
8
通讯作者：
Eric G. Falkenstein
中科院分区：
文献类型：
--
作者：
Eric G. Falkenstein
对 1991 年和 1992 年共同基金持股横截面的调查表明，共同基金明显偏爱知名度高、交易成本低的股票，而厌恶特殊波动性低的股票。这些发现与有关投资者认可、共同基金潜在代理问题、共同基金趋势跟踪和羊群行为测试以及公司财务的理论相关。美国金融协会版权所有 1996。
This investigation of the cross-section of mutual fund equity holdings for the years 1991 and 1992 shows that mutual funds have a significant preference towards stocks with high visibility and low transaction costs, and are averse to stocks with low idiosyncratic volatility. These findings are relevant to theories concerning investor recognition, a potential agency problem in mutual funds, tests of trend-following and herd behavior by mutual funds, and corporate finance. Copyright 1996 by American Finance Association.