Does Your Fund Manager Trade on the News? Media Coverage, Mutual Fund Trading and Performance
33 Pages Posted: 18 Mar 2009
Date Written: March 18, 2009
We study the relation between mutual fund trades and media coverage of stocks. We find that on average mutual funds tend to trade high-coverage stocks. Meanwhile, funds display substantial cross-sectional heterogeneity in terms of their propensity to trade high-coverage stocks. The more likely is a fund to trade high-coverage stocks, the lower is the fund's various measures of alpha. Moreover, these propensities are relatively persistent over time, and they help predict future fund alphas.
Keywords: Mutual Funds, Media Coverage, Attention, Performance Evaluation
JEL Classification: G1, G2, G14, G23
Suggested Citation: Suggested Citation