Comparing Stars – Trading on Star Mutual Funds’ Holdings and Star Analysts’ Recommendations
This paper examines the relation between top stock-analyst recommendations and top mutual fund performance. Each year, fund managers elect a small sub-group of analysts to be All-American (“star) analysts. We find that funds that closely follow these star analysts’ recommendations perform better than other funds. Trading rules that select stocks recommended by top analysts and held by top fund managers generate superior alphas than trading rules using either information alone. In contrast, trading rules that follow top-analyst recommendations and the opposite of the average fund flow also perform well. These findings suggest that proximity to “stars and deviation from consensus are both indicative of fund manager skill.
Lily Fang Robert Kosowski
Tanaka Business School, Imperial College London, South Kensington Campus, London, SW7 2AZ, United Kingdom
国际会议
成都
英文
1-56
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）