Business Ties and Information Advantage: Evidence from Mutual Fund Trading
研究发现，共同基金家族通过担任企业养老金受托人获得信息优势，其净卖出股票的未来收益更低，且这种预测能力在信息不确定性高时更强。
ABSTRACT This article examines whether ties to portfolio firms’ management via pension business relationships provide mutual funds with an informational advantage. Funds become related to portfolio companies when fund families serve as trustees for firms’ employee pension plans. Selling by related funds is more likely to be motivated by an information advantage than their buying, because the latter is heavily influenced by the desire to secure pension inflows. We find that stocks with larger net sales by related funds experience lower future returns. Information appears related to firm fundamentals, as the return predictability of related funds’ selling concentrates in stocks with negative future earnings surprises. Consistent with an information‐based explanation, the predictive power of related funds’ selling for future returns is more pronounced when information uncertainty about the stock is higher. Our results contribute to a growing literature that shows the sources of informed trading by institutions.