Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements
研究发现共同基金经理近期买入的股票在盈利公告前后表现优于卖出的股票，且这种交易能预测盈利惊喜，说明基金经理的选股能力部分源于对盈利基本面的预测。
Abstract Recent research finds that the stocks that mutual fund managers buy outperform the stocks that they sell (e.g., Chen, Jegadeesh, and Wermers (2000)). We study the nature of this stock-picking ability. We construct measures of trading skill based on how the stocks held and traded by fund managers perform at subsequent corporate earnings announcements. This approach increases the power to detect skilled trading and sheds light on its source. We find that the average fund’s recent buys significantly outperform its recent sells around the next earnings announcement, and that this accounts for a disproportionate fraction of the total abnormal returns to fund trades estimated in prior work. We find that mutual fund trades also forecast earnings surprises. We conclude that mutual fund managers are able to trade profitably in part because they are able to forecast earnings-related fundamentals.