Journal article
Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings
The Review of financial studies, Vol.25(12), pp.3490-3529
12/01/2012
DOI: 10.1093/rfs/hhs111
Abstract
We develop a stock return-predictive measure based on an efficient aggregation of the portfolio holdings of all actively managed U.S. domestic equity mutual funds, and use this model to study the source of fund managers' stock selection abilities. This "generalized inverse alpha" (GIA) approach reveals differences in the ability of managers to predict firms' future earnings from fundamental research. Notably, the GIA's return-forecasting power is not subsumed by publicly available quantitative predictors, such as momentum, value, and earnings quality, nor is it subsumed by methods shown in past research to forecast stock returns using fund holdings or trades.
Details
- Title: Subtitle
- Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings
- Creators
- Russ Wermers - University of Maryland, College ParkTong Yao - University of IowaJane Zhao - PanAgora Asset Management
- Resource Type
- Journal article
- Publication Details
- The Review of financial studies, Vol.25(12), pp.3490-3529
- Publisher
- Oxford Univ Press
- DOI
- 10.1093/rfs/hhs111
- ISSN
- 0893-9454
- eISSN
- 1465-7368
- Number of pages
- 40
- Language
- English
- Date published
- 12/01/2012
- Academic Unit
- Finance
- Record Identifier
- 9984380438002771
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