Information Content When Mutual Funds Deviate from Benchmarks
研究发现主动管理型共同基金的平均超配和低配决策包含未来股票收益的信息，超配股票每年跑赢低配股票7%以上，但该溢价在共识公开后迅速消失。
The consensus wisdom of active mutual fund managers, as reflected in their average over- and underweighting decisions, contains valuable information about future stock returns. Analyzing a comprehensive sample of active U.S. equity funds from 1984 to 2008, we find that stocks heavily overweighted by active funds outperform their underweighted counterparts by more than 7% per year, after adjustments for their loadings on the market, size, value, and momentum factors. This large premium dissipates quickly as the consensus view becomes publicly available. These results are consistent with the notion that informed investing by active mutual funds enhances the informativeness of stock prices. In addition, active mutual funds invest only a small portion of fund assets in high alpha stocks, in accordance with the consensus view that active mutual funds on average fail to outperform passive benchmarks. Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2013.1847 . This paper was accepted by Brad Barber, finance.