Do Fund Managers Identify and Share Profitable Ideas?

43 Pages Posted: 4 Nov 2009 Last revised: 9 May 2012

See all articles by Wesley R. Gray

Wesley R. Gray

Alpha Architect; Drexel University - LeBow College of Business

Steve Crawford

University of Houston

Andrew E. Kern

University of Missouri - Trulaske College of Business

Date Written: May 2, 2012

Abstract

We study data from an organization in which fund managers privately share investment ideas. Evidence suggests the investors in our sample have stock-picking skills. A strategy of going long (short) buy (sell) recommendations earns monthly value-weight calendar-time abnormal returns of 1.31% (-2.67%) over the January 1, 2000 to December 31, 2011 sample period. Interestingly, these skilled investors share their profitable ideas. We determine that the managers in our sample share ideas to receive constructive feedback and to attract additional arbitrageur capital to their asset market.

Keywords: Value investing, abnormal returns, networks, hedge funds, market efficiency, Valueinvestorsclub.com, internet message boards

JEL Classification: G10, G11, G14

Suggested Citation

Gray, Wesley R. and Crawford, Steve and Kern, Andrew E., Do Fund Managers Identify and Share Profitable Ideas? (May 2, 2012). Available at SSRN: https://ssrn.com/abstract=1499341 or http://dx.doi.org/10.2139/ssrn.1499341

Wesley R. Gray (Contact Author)

Alpha Architect ( email )

213 Foxcroft Road
Broomall, PA 19008
United States
7732304727 (Phone)

HOME PAGE: http://www.alphaarchitect.com

Drexel University - LeBow College of Business ( email )

3141 Chestnut St
Philadelphia, PA 19104
United States

HOME PAGE: http://www.lebow.drexel.edu/corporate-services/corporate-and-executive-education/executive-faculty

Steve Crawford

University of Houston ( email )

Houston, TX 77204
United States

Andrew E. Kern

University of Missouri - Trulaske College of Business ( email )

403 Cornell Hall
Columbia, MO 65211
United States

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