Mutual Funds and Mispriced Stocks
Published Online:15 Oct 2019https://doi.org/10.1287/mnsc.2019.3319
References
- (2015) Smart money, dumb money, and capital market anomalies. J. Financial Econom. 118(2):355–382.Crossref, Google Scholar
- (2008) Do mutual funds profit from the accruals anomaly? J. Accounting Res. 46(1):1–26.Crossref, Google Scholar
- (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Marketing 5(1):31–56.Crossref, Google Scholar
- (2013) Mutual fund’s R2 as predictor of performance. Rev. Financial Stud. 26(3):667–694.Crossref, Google Scholar
- (2006) The cross-section of volatility and expected returns. J. Finance 61(1):259–299.Crossref, Google Scholar
- (2006) Investing in mutual funds when returns are predictable. J. Financial Econom. 81(2):339–377.Crossref, Google Scholar
- (2013) Anomalies and financial distress. J. Financial Econom. 108(1):139–159.Crossref, Google Scholar
- (2006) Investor sentiment and the cross-section of stock returns. J. Finance 61(4):1645–1680.Crossref, Google Scholar
- (2007) Investor sentiment in the stock market. J. Econom. Perspect. 21(2):129–151.Crossref, Google Scholar
- (2015) Measuring skill in the mutual fund industry. J. Financial Econom. 118(1):1–20.Crossref, Google Scholar
- (2008) In search of distress risk. J. Finance 63(6):2899–2939.Crossref, Google Scholar
- (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.Crossref, Google Scholar
- (2011) An alternative three-factor model. Working paper, Cheung Kong Graduate School of Business, Beijing.Google Scholar
- (2004) Does fund size erode mutual fund performance? The role of liquidity and organization. Amer. Econom. Rev. 94(5):1276–1302.Crossref, Google Scholar
- (1997) Risk taking by mutual funds as a response to incentives. J. Political Econom. 105(6):1167–1200.Crossref, Google Scholar
- (2002) Demand curves and the pricing of money management. Rev. Financial Stud. 15(5):1499–1524.Crossref, Google Scholar
- (2008) Asset growth and the cross-section of stock returns. J. Finance 63(4):1609–1651.Crossref, Google Scholar
- (2009) How active is your fund manager? A new measure that predicts performance. Rev. Financial Stud. 22(9):3329–3365.Crossref, Google Scholar
- (2016) Indexing and active fund management: International evidence. J. Financial Econom. 120(3):539–560.Crossref, Google Scholar
- (2006) Market reactions to tangible and intangible information. J. Finance 61(4):1605–1643.Crossref, Google Scholar
- (1997) Measuring mutual fund performance with characteristic-based benchmarks. J. Finance 52(3):1035–1058.Crossref, Google Scholar
- (2016) Institutional investors and stock return anomalies. J. Financial Econom. 119(3):472–488.Crossref, Google Scholar
- (1996) Survivorship bias and mutual fund performance. Rev. Financial Stud. 9(4):1097–1120.Crossref, Google Scholar
- (1996) Preferences for stock characteristics as revealed by mutual fund portfolio holdings. J. Finance 51(1):111–135.Crossref, Google Scholar
- (1972) Components of investment performance. J. Finance 27(3):551–567.Crossref, Google Scholar
- (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33(1):3–56.Crossref, Google Scholar
- (2006) Profitability, investment and average returns. J. Financial Econom. 82(3):491–518.Crossref, Google Scholar
- (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81(3):607–636.Crossref, Google Scholar
- (2016) Deactivating active share. Financial Anal. J. 72(2):14–21.Crossref, Google Scholar
- (2009) The relation between price and performance in the mutual fund industry. J. Finance 64(5):2153–2183.Crossref, Google Scholar
- (1996) Another puzzle: The growth in actively managed mutual funds. J. Finance 51(3):783–810.Crossref, Google Scholar
- (2004) Do investors overvalue firms with bloated balance sheets? J. Accounting Econom. 38(December):297–331.Crossref, Google Scholar
- (2013) Liquidity as an investment style. Financial Anal. J. 69(3):30–44.Google Scholar
- (2012) The liquidity style of mutual funds. Financial Anal. J. 68(6):38–53.Google Scholar
- (1993) Returns to buying winners and selling losers: Implications for market efficiency. J. Finance 48(1):65–91.Crossref, Google Scholar
- (2014) Dispersion in beliefs among active mutual funds and the cross-section of stock returns. J. Financial Econom. 114(2):341–365.Crossref, Google Scholar
- (2018) Active fundamental performance. Rev. Financial Stud. 31(12):4688–4719.Crossref, Google Scholar
- (2005) On the industry concentration of actively managed equity mutual funds. J. Finance 60(4):1983–2012.Crossref, Google Scholar
- (2008) Unobserved actions of mutual funds. Rev. Financial Stud. 21(6):2379–2416.Crossref, Google Scholar
- (2014) Time-varying fund manager skill. J. Finance 69(4):1455–1484.Crossref, Google Scholar
- (2015) Firm characteristics and empirical factor models: A model-mining experiment. Working paper, Massachusetts Institute of Technology, Cambridge.Google Scholar
- (2004) Are momentum profits robust to trading costs? J. Finance 59(3):1039–1082.Crossref, Google Scholar
- (2011) Do mutual funds perform when it matters most to investors? US mutual fund performance and risk in recessions and expansions. Quart. J. Finance 1(3):607–664.Crossref, Google Scholar
- (2018) Interpreting factor models. J. Finance 73(3):1183–1223.Crossref, Google Scholar
- (1995) The new issues puzzle. J. Finance 50(1):23–51.Crossref, Google Scholar
- (1995) Returns from investing in equity mutual funds 1971 to 1991. J. Finance 50(2):549–572.Crossref, Google Scholar
- (1977) Risk, uncertainty, and divergence of opinion. J. Finance 32(4):1151–1168.Crossref, Google Scholar
- (2000) Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses. (Discussion.) J. Finance 55(4):1695–1703.Crossref, Google Scholar
- (1987) A simple positive-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
- (2013) The other side of value: The gross profitability premium. J. Financial Econom. 108(1):1–28.Crossref, Google Scholar
- (1980) Financial ratios and the probabilistic prediction of bankruptcy. J. Accounting Res. 18(1):109–131.Crossref, Google Scholar
- (2017) Do funds make more when they trade more? J. Finance 72(4):1483–1528.Crossref, Google Scholar
- (2013) Active share and mutual fund performance. Financial Anal. J. 69(4):73–93.Crossref, Google Scholar
- (1991) The long-run performance of initial public offerings. J. Finance 46(1):3–27.Crossref, Google Scholar
- (1996) Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Rev. 71(3):289–315.Google Scholar
- (2017) Mispricing factors. Rev. Financial Stud. 30(4):1270–1315.Crossref, Google Scholar
- (2012) The short of it: Investor sentiment and anomalies. J. Financial Econom. 104(2):288–302.Crossref, Google Scholar
- (2015) Arbitrage asymmetry and the idiosyncratic volatility puzzle. J. Finance 70(5):1903–1948.Crossref, Google Scholar
- (2004) Capital investments and stock returns. J. Financial Quant. Anal. 39(4):677–700.Crossref, Google Scholar
- (2000) Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses. J. Finance 55(4):1655–1695.Crossref, Google Scholar
- (2003) Are mutual fund shareholders compensated for active management “bets”? Working paper, University of Maryland, College Park, College Park.Google Scholar

