Selectivity in Mutual Fund Trades

Cullen, G., Gasbarro, D., Le, K-S. and Monroe, G.S. (2009) Selectivity in Mutual Fund Trades. In: The 22nd Australasian Finance and Banking Conference, 21 August 2009, The University of New South Wales, Sydney, Australia pp. 1-28.

Abstract

We examine fund-by-fund whether managers tilt their portfolios by purchasing stocks that appreciate while disposing stocks that depreciate. Using a unique method we identify statistically whether these managers exhibit selectivity in their trades. We find proportions of funds exhibiting good or perverse selectivity, while significant, are only marginally above random expectation, suggesting that luck rather than skill drives the result. As expected, funds which exhibit good selection outperform those that make poor stock selection, but the magnitude of this advantage varies according to investment style. Statistically, stock selection is only weakly persistent challenging selectivity based on skill as a widespread phenomenon.

Item Type:	Conference Paper
Murdoch Affiliation:	Murdoch Business School
Publisher:	Australian School of Business at University of New South Wales
Copyright:	The authors
Conference Website:	http://www.asb.unsw.edu.au/schools/bankingandfinan...
URI:	http://researchrepository.murdoch.edu.au/id/eprint/7729

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