Investor Sentiment and Mutual Fund Stock Picking

Distribution of Individual Stock Performances in a Mutual Fund and the Fund Manager’s Stock Picking Ability

We find that the performance distribution of the individual stocks inside a mutual fund can toss out additional information about the fund manager’s stock picking ability. When a mutual fund contains mostly mediocre-performing stocks but one super-performer, it is likely that the overall fund performance, albeit good, would be due to luck. On the other hand, a fund that has a larger number of a...

Individual investor mutual fund flows

This paper studies the relation between individuals’ mutual fund flows and fund characteristics, establishing three key results. First, consistent with tax motivations, individual investors are reluctant to sell mutual funds that have appreciated in value and are willing to sell losing funds. Second, individuals pay attention to investment costs as redemption decisions are sensitive to both exp...

Mutual Fund Choices and Investor Demographics

We test the hypothesis that investment in actively managed mutual funds is linked to investor clienteles. We document that individual investors located in less affluent, less educated, and ethnic minority neighborhoods invest more in funds with expensive load fees. They also tend to invest a disproportionate amount in funds with no minimum-balance requirements, and find fewer funds and (fewer n...

Stock Return Momentum and Investor Fund Choice

Investor Sentiment , Mutual Fund Flows and its Impact on Returns and Volatility

Purpose – This paper investigates the impact of individual investor sentiment on the return process and conditional volatility of three main US market indices (DJIA, S&P500 and Nasdaq100). Individual investor sentiment is measured by aggregate money flows in and out of domestically oriented US mutual funds. Design/Methodology/Approach – A GARCH-in-mean specification is used, where our measure f...