Are mutual fund managers good gamblers?

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-06-01 DOI:10.1016/j.finmar.2022.100787

Roberto Stein

引用次数: 0

Abstract

Lottery stocks have been shown to severely underperform on average. I find that from 1980 to 2016, while the average stock held by U.S. equity mutual fund managers outperforms those they do not hold by 3.8% per year, lottery stocks held by mutual funds outperform those they avoid by 24%. I find that a fund's loading on lottery stocks is a good predictor of future performance. Lottery stock loading is also correlated with various measures of fund manager skill. Investors can benefit from this information either to find skillful fund managers or to build a profitable copycat portfolio.

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共同基金经理是好赌徒吗?

彩票股平均表现不佳。我发现，从1980年到2016年，虽然美国股票共同基金经理持有的股票平均每年比他们不持有的股票高3.8%，但共同基金持有的彩票股票比他们回避的股票高24%。我发现基金对彩票股票的投资是未来业绩的一个很好的预测因素。彩票股票装载量也与基金经理技能的各种衡量标准相关。投资者可以从这些信息中受益，要么找到熟练的基金经理，要么建立一个有利可图的模仿投资组合。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.