Uncommon Value: The Characteristics and Investment Performance of Contrarian Funds

Published Online:https://doi.org/10.1287/mnsc.2014.1982

References

  • Amihud Y (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5:31–56.CrossrefGoogle Scholar
  • Avramov D, Wermers R (2006) Investing in mutual funds when returns are predictable. J. Financial Econom. 81:339–377.CrossrefGoogle Scholar
  • Barras L, Scaillet O, Wermers R (2010) False discoveries in mutual fund performance: Measuring luck in estimated alphas. J. Finance 65:179–216.CrossrefGoogle Scholar
  • Bikhchandani S, Hirshleifer D, Welch I (1992) A theory of fads, fashion, custom, and cultural change as informational cascades. J. Political Econom. 100:992–1026.CrossrefGoogle Scholar
  • Brown KC, Harlow WV, Starks LT (1996) Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry. J. Finance 51:85–110.CrossrefGoogle Scholar
  • Brown NC, Wei KD, Wermers R (2014) Analyst recommendations, mutual fund herding, and overreaction in stock prices. Management Sci. 60:1–20.LinkGoogle Scholar
  • Carhart M (1997) On the persistence in mutual fund performance. J. Finance 52:57–82.CrossrefGoogle Scholar
  • Chen HL, Jegadeesh N, Wermers R (2000) An examination of the stockholdings and trades of fund managers. J. Financial Quant. Anal. 35:43–68.CrossrefGoogle Scholar
  • Chevalier J, Ellison G (1997) Risk taking by mutual funds as a response to incentives. J. Political Econom. 105:1167–1200.CrossrefGoogle Scholar
  • Chevalier J, Ellison G (1999) Career concerns of mutual fund managers. Quart. J. Econom. 114:389–432.CrossrefGoogle Scholar
  • Coval J, Stafford E (2007) Asset fire sales (and purchases) in equity markets. J. Financial Econom. 86:479–512.CrossrefGoogle Scholar
  • Cremers M, Petajisto A (2009) How active is your fund manager? A new measure that predicts performance. Rev. Financial Stud. 22:3329–3365.CrossrefGoogle Scholar
  • Daniel K, Hirshleifer D, Subrahmanyam A (1998) Investor psychology and security market under- and over-reactions. J. Finance 53:1839–1886.CrossrefGoogle Scholar
  • Daniel K, Grinblatt M, Titman S, Wermers R (1997) Measuring mutual fund performance with characteristic-based benchmarks. J. Finance 52:1035–1058.CrossrefGoogle Scholar
  • Dasgupta A, Prat A, Verardo M (2011a) The price impact of institutional herding. Rev. Financial Stud. 24:892–925.CrossrefGoogle Scholar
  • Dasgupta A, Prat A, Verardo M (2011b) Institutional trade persistence and long-term equity returns. J. Finance 66:635–663.CrossrefGoogle Scholar
  • Falkenstein EG (1996) Preferences for stock characteristics as revealed by mutual fund portfolio holdings. J. Finance 51:111–135.CrossrefGoogle Scholar
  • Fama EF, French KR (2010) Luck versus skill in the cross section of mutual fund returns. J. Finance 65:1915–1947.CrossrefGoogle Scholar
  • Froot KA, Scharfstein DS, Stein JC (1992) Herd on the street: Informational inefficiencies in a market with short-term speculation. J. Finance 47:1461–1484.CrossrefGoogle Scholar
  • Grinblatt M, Titman S, Wermers R (1995) Momentum investment strategies, portfolio performance and herding: A study of mutual fund behavior. Amer. Econom. Rev. 85:1088–1105.Google Scholar
  • Hirshleifer D, Subrahmanyam A, Titman S (1994) Security analysis and trading patterns when some investors receive information before others. J. Finance 49:1665–1698.CrossrefGoogle Scholar
  • Huang J, Sialm C, Zhang H (2011) Risk shifting and mutual fund performance. Rev. Financial Stud. 24:2575–2616.CrossrefGoogle Scholar
  • Irvine P, Lipson M, Puckett A (2007) Tipping. Rev. Financial Stud. 20:741–768.CrossrefGoogle Scholar
  • Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48:65–92.CrossrefGoogle Scholar
  • Kacperczyk M, Seru A (2007) Fund manager use of public information: New evidence on managerial skills. J. Finance 62:485–528.CrossrefGoogle Scholar
  • Kacperczyk M, Sialm C, Zheng L (2005) On the industry concentration of actively managed equity mutual funds. J. Finance 60:1983–2011.CrossrefGoogle Scholar
  • Lakonishok J, Shleifer A, Vishny R (1992) The impact of institutional trading on stock prices. J. Financial Econom. 32:23–43.CrossrefGoogle Scholar
  • Lou D (2012) A flow-based explanation for return predictability. Rev. Financial Stud. 25:3457–3489.CrossrefGoogle Scholar
  • Luxenberg S (2013) High-flying mutual funds that crashed. TheStreet (March 15), http://www.thestreet.com/story/11870952/1/high-flying-mutual-funds-that-crashed.html.Google Scholar
  • Sensoy BA (2009) Performance evaluation and self-designated benchmark indexes in the mutual fund industry. J. Financial Econom. 92:25–39.CrossrefGoogle Scholar
  • Scharfstein DS, Stein JC (1990) Herd behavior and investment. Amer. Econom. Rev. 80:465–479.Google Scholar
  • Sias RW (2004) Institutional herding. Rev. Financial Stud. 17:165–206.CrossrefGoogle Scholar
  • Wermers R (1999) Mutual fund herding and the impact on stock prices. J. Finance 54:581–622.CrossrefGoogle Scholar
  • Wermers R, Yao T, Zhao J (2012) Forecasting stock returns through an efficient aggregation of mutual fund holdings. Rev. Financial Stud. 25:3490–3529.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.