Does Your Fund Manager Trade on the News? Media Coverage, Mutual Fund Trading and Performance

33 Pages Posted: 18 Mar 2009

See all articles by Lily H. Fang

Lily H. Fang

INSEAD - Finance

Joel Peress

INSEAD - Finance

Lu Zheng

Tsinghua University

Date Written: March 18, 2009

Abstract

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

Fang, Lily H. and Peress, Joel and Zheng, Lu, Does Your Fund Manager Trade on the News? Media Coverage, Mutual Fund Trading and Performance (March 18, 2009). Available at SSRN: https://ssrn.com/abstract=1361771 or http://dx.doi.org/10.2139/ssrn.1361771

Lily H. Fang

INSEAD - Finance ( email )

Boulevard de Constance
F-77305 Fontainebleau Cedex
France

Joel Peress (Contact Author)

INSEAD - Finance ( email )

Boulevard de Constance
F-77305 Fontainebleau Cedex
France
+33 1 60 72 40 00 (Phone)
+33 1 60 72 40 45 (Fax)

Lu Zheng

Tsinghua University ( email )

Beijing, 100084
China

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
492
Abstract Views
2,362
rank
62,297
PlumX Metrics