Do Local Investors Know More? Evidence from Mutual Fund Location and Investments

摘要：

Analyzing the equity holdings of mutual funds, I document evidence consistent with a perception that local funds have informational advantage. However, mutual funds local holdings do not display superior performance relative to their distant holdings. Using a parsimonious model, I hypothesize that the profitability of local informational advantage will be higher when there is a relatively small population of local agents trading on similar private information, and hence the price impact of local trades is likely to be small. Consistent with this hypothesis, I find funds earning superior returns on local stocks for which the aggregate local capital is limited.

作者: Johan Sulaeman

作者单位: Edwin L. Cox School of Business Southern Methodist University

会议类型: 国际会议

会议名称: 2009年中国金融国际年会

会议地点: 广州

会议语种:英文

页码: 1-49

在线出版日期: 2009-07-07（万方平台首次上网日期，不代表论文的发表时间）