Does stock return momentum explain the "Smart money" effect?
Does stock return momentum explain the "Smart money" effect?
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DOI：
10.1111/j.1540-6261.2004.00710.x
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发表时间：
2004-12-01
影响因子：
8
通讯作者：
Tiwari, A
中科院分区：
文献类型：
--
作者：
Sapp, T;Tiwari, A
Gruber（1996）和Zheng（1999）的“聪明钱”效应是否反映了共同基金投资者的基金选择能力？我们研究发现，投资者能够预测共同基金的业绩，并进行相应的投资。我们发现聪明钱效应可以用Jegadeesh和Titman（1993）记录的股票收益动量现象来解释。进一步的证据表明，投资者不会根据动量投资风格选择基金，而是简单地追逐最近的赢家基金。我们的研究发现，股票收益的一个共同因素解释了聪明钱效应，但这并不能肯定投资者的基金选择能力。
Does the "smart money" effect documented by Gruber (1996) and Zheng (1999) reflect fund selection ability of mutual fund investors? We examine the finding that investors are able to predict mutual fund performance and invest accordingly. We show that the smart money effect is explained by the stock return momentum phenomenon documented by Jegadeesh and Titman (1993). Further evidence suggests investors do not select funds based on a momentum investing style, but rather simply chase funds that were recent winners. Our finding that a common factor in stock returns explains the smart money effect offers no affirmation of investor fund selection ability.