Adjusting to the Information Environment: News Tangibility and Mutual Fund Performance

46 Pages Posted: 6 Sep 2016

See all articles by Oleg Chuprinin

Oleg Chuprinin

UNSW; Financial Research Network (FIRN)

Sérgio Gaspar

Independent

Massimo Massa

INSEAD - Finance

Date Written: August 2016

Abstract

We study the relationship between mutual funds' performance and shocks to the public information environment of their investments. For each stock, we distinguish between quantitative, or tangible, news (expressed with numeric characters) and qualitative news (expressed as verbal content). We find that funds that trade more actively in response to changes in the stocks' information tangibility earn higher risk-adjusted returns. Funds that are particularly sensitive to such fluctuations have smaller managerial teams and employ managers who are more focused. Overall, our evidence suggests that public signals associated with changes in the type of available information constitute a channel of value creation in asset management.

Suggested Citation

Chuprinin, Oleg and Gaspar, Sérgio and Massa, Massimo, Adjusting to the Information Environment: News Tangibility and Mutual Fund Performance (August 2016). CEPR Discussion Paper No. DP11473. Available at SSRN: https://ssrn.com/abstract=2834810

Oleg Chuprinin (Contact Author)

UNSW ( email )

Room 349, UNSW Business School
High St
UNSW Sydney, NSW 2052
Australia
406674419 (Phone)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Sérgio Gaspar

Independent

No Address Available

Massimo Massa

INSEAD - Finance ( email )

Boulevard de Constance
F-77305 Fontainebleau Cedex
France
+33 1 6072 4481 (Phone)
+33 1 6072 4045 (Fax)

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