Uncommon Value: The Characteristics and Investment Performance of Contrarian Funds
识别出逆向基金（频繁逆势交易的基金），发现它们能产生超额收益，且其选股信息可预测股票回报，对研究基金策略和资产定价的学者有参考价值。
Motivated by extant theories of herding behavior, this paper empirically identifies contrarian mutual funds as those trading most frequently against the crowd. We find that contrarian funds generate superior performance both when they trade against and with the herd, indicating that they possess superior private information. Furthermore, contrarians do not trade in a particularly correlated fashion with each other, consistent with these funds having disparate information. Our fund-level contrarian measure is largely unrelated to existing measures of fund strategy uniqueness, as both contrarian and herding funds score highly on such measures. Building on our finding of superior alphas for contrarian funds, we construct a stock-level contrarian score that reflects the aggregate stock selection information possessed by contrarian managers. This stock-level contrarian score significantly predicts stock returns after controlling for measures of stock-level herding, as well as a battery of return-predictive investment signals documented in prior studies. This paper was accepted by Wei Jiang, finance.