Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings
研究1991-1992年共同基金持股截面数据，发现基金偏好高知名度、低交易成本的股票，回避低特质波动股票，对投资者认知、代理问题等理论有启示。
ABSTRACT This investigation of the cross‐section of mutual fund equity holdings for the years 1991 and 1992 shows that mutual funds have a significant preference towards stocks with high visibility and low transaction costs, and are averse to stocks with low idiosyncratic volatility. These findings are relevant to theories concerning investor recognition, a potential agency problem in mutual funds, tests of trend‐following and herd behavior by mutual funds, and corporate finance.