Does Stock Return Momentum Explain the “Smart Money” Effect?
检验了共同基金投资者的“聪明钱”效应是否源于其选基能力，发现该效应可由股票收益动量现象解释，投资者并非基于动量投资风格选基，而是追逐近期表现好的基金。
ABSTRACT Does the “smart money” effect documented by Gruber (1996) and Zheng (1999) reflect fund selection ability of mutual fund investors? We examine the finding that investors are able to predict mutual fund performance and invest accordingly. We show that the smart money effect is explained by the stock return momentum phenomenon documented by Jegadeesh and Titman (1993) . Further evidence suggests investors do not select funds based on a momentum investing style, but rather simply chase funds that were recent winners. Our finding that a common factor in stock returns explains the smart money effect offers no affirmation of investor fund selection ability.