2013-07-01
On the Style-based Feedback Trading of Mutual Fund Managers
Publication
Publication
This paper examines the style-based feedback trading behavior of mutual fund managers. We provide an empirical version of the model for style-switching behavior of Barberis and Shleifer (2003). We find style-based feedback trading for 77% of the funds, half of which is positive- (negative-) feedback trading. There is evidence for “twin-style” switching, in which capital is channeled between value and growth, and between large-cap and small-cap. Growth (value) funds apply more positive (negative)-feedback trading. Funds that switch more aggressively are younger and have higher expense ratios. Finally, we find that positive (negative) feedback trading yields positive (negative) alpha.
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| hdl.handle.net/1765/76926 | |
| Organisation | Erasmus School of Economics |
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Frijns, B., Gilbert, A., & Zwinkels, R. (2013). On the Style-based Feedback Trading of Mutual Fund Managers. Retrieved from http://hdl.handle.net/1765/76926 |
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