TAXI! Do Mutual Funds Pursue and Exploit Information on Local Companies?
利用纽约市出租车数据，研究发现共同基金通过出租车访问本地公司，超配这些股票并获超额收益，尤其在财报前访问增多，交易预测盈利惊喜，教育关联增强效果。
Abstract We use New York City (NYC) taxi data to identify trips between mutual fund offices and local firm headquarters. NYC funds overweight the stocks of local firms they visit via taxi, and firm visits are associated with superior investment performance. Firm visits are elevated prior to earnings announcements, and mutual fund trades that are associated with firm taxi visits predict earnings surprises. The results are generally stronger when fund and firm executives share educational connections. Additional tests support the conclusion that funds’ local bias and investment performance are driven by portfolio managers’ efforts and ability to actively gather material information.