出租车!共同基金是否追求和利用当地公司的信息?

IF 3.9 2区经济学 Q1 Economics, Econometrics and Finance

Journal of Financial and Quantitative Analysis Pub Date : 2023-07-05 DOI:10.1017/s0022109023000868

David C. Cicero, Andy Puckett, Albert Y. Wang, Shen Zhang

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引用次数: 0

摘要

我们使用纽约市的出租车数据来确定共同基金办事处和当地公司总部之间的行程。纽约的基金会增持他们乘坐出租车拜访的当地公司的股票，而拜访公司与卓越的投资业绩有关。在公司财报公布之前，公司拜访次数会增加，与公司拜访相关的共同基金交易可以预测公司的意外收益。当基金和公司的高管拥有相同的教育背景时，结果通常更强。额外的测试支持了基金的本地偏见和投资业绩是由投资组合经理的努力和积极收集重要信息的能力所驱动的结论。

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TAXI! Do Mutual Funds Pursue and Exploit Information on Local Companies?

We use New York City (NYC) taxi data to identify trips between mutual fund offices and local firm headquarters. NYC funds overweight the stocks of local firms they visit via taxi, and firm visits are associated with superior investment performance. Firm visits are elevated prior to earnings announcements, and mutual fund trades that are associated with firm taxi visits predict earnings surprises. The results are generally stronger when fund and firm executives share educational connections. Additional tests support the conclusion that funds’ local bias and investment performance are driven by portfolio managers’ efforts and ability to actively gather material information.

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来源期刊

Journal of Financial and Quantitative Analysis Multiple-

CiteScore

6.60

自引率

5.10%

发文量

131

期刊介绍： The Journal of Financial and Quantitative Analysis (JFQA) publishes theoretical and empirical research in financial economics. Topics include corporate finance, investments, capital and security markets, and quantitative methods of particular relevance to financial researchers. With a circulation of 3000 libraries, firms, and individuals in 70 nations, the JFQA serves an international community of sophisticated finance scholars—academics and practitioners alike. The JFQA prints less than 10% of the more than 600 unsolicited manuscripts submitted annually. An intensive blind review process and exacting editorial standards contribute to the JFQA’s reputation as a top finance journal.