Abstract

http://ssrn.com/abstract=1663112
 
 

References (16)



 


 



Selectivity, Style, Sentiment and Skill in Mutual Fund Trades


Grant Cullen


Murdoch University

Dominic Gasbarro


Murdoch University

Kim-Song Le


Murdoch University

Gary S. Monroe


University of New South Wales (UNSW) - Australian School of Business

August 20, 2010

23rd Australasian Finance and Banking Conference 2010 Paper

Abstract:     
Fund managers can only exhibit selectivity through purchasing (selling) stocks that appreciate (depreciate) more frequently than expected from random occurrence, if stocks are incorrectly priced. We develop a method that can statistically identify fund managers that exhibit net, buy, and sell selectivity in their trades, as well as distinguish manager skill from fortuitous stock selection. Stock investor sentiment betas are calculated from the recently developed investor sentiment index, and used to indicate stock mispricing. We find that superior stock selection is concentrated in funds that hold high sentiment beta stocks; the major constituent of funds with the aggressive growth objective.

Number of Pages in PDF File: 27

Keywords: Mutual fund, selectivity, investment style, investor sentiment, persistence

JEL Classification: G2, G11, G14, G23

working papers series


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Date posted: August 24, 2010  

Suggested Citation

Cullen, Grant and Gasbarro, Dominic and Le, Kim-Song and Monroe, Gary S., Selectivity, Style, Sentiment and Skill in Mutual Fund Trades (August 20, 2010). 23rd Australasian Finance and Banking Conference 2010 Paper. Available at SSRN: http://ssrn.com/abstract=1663112 or http://dx.doi.org/10.2139/ssrn.1663112

Contact Information

Grant Stewart Cullen
Murdoch University ( email )
Murdoch, WA 6150
Australia
618 9360 6026 (Phone)
618 9310 5004 (Fax)
Dominic Gasbarro
Murdoch University ( email )
South Street
Murdoch 6150, Western Australia
Australia
Kim-Song Le (Contact Author)
Murdoch University ( email )
South Street
Murdoch 6150, Western Australia
Australia
61893602362 (Phone)
61893105004 (Fax)
Gary S. Monroe
University of New South Wales (UNSW) - Australian School of Business ( email )
Sydney, NSW 2052
Australia
+61293856443 (Phone)

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