Journal article
Does Stock Return Momentum Explain the "Smart Money" Effect?
The Journal of finance (New York), Vol.59(6), pp.2605-2622
12/2004
DOI: 10.1111/j.1540-6261.2004.00710.x
Abstract
Does the "smart money" effect documented by Gruber (1996) and Zheng (1999) reflect fund selection ability of mutual fund investors? We examine the finding that investors are able to predict mutual fund performance and invest accordingly. We show that the smart money effect is explained by the stock return momentum phenomenon documented by Jegadeesh and Titman (1993). Further evidence suggests investors do not select funds based on a momentum investing style, but rather simply chase funds that were recent winners. Our finding that a common factor in stock returns explains the smart money effect offers no affirmation of investor fund selection ability.
Details
- Title: Subtitle
- Does Stock Return Momentum Explain the "Smart Money" Effect?
- Creators
- TRAVIS SappASHISH Tiwari - University of Iowa
- Resource Type
- Journal article
- Publication Details
- The Journal of finance (New York), Vol.59(6), pp.2605-2622
- Publisher
- Blackwell Publishing, Inc
- DOI
- 10.1111/j.1540-6261.2004.00710.x
- ISSN
- 0022-1082
- eISSN
- 1540-6261
- Number of pages
- 18
- Language
- English
- Date published
- 12/2004
- Academic Unit
- Finance
- Record Identifier
- 9984380455202771
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