The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers

By Hsiu-lang Chen, Narasimhan Jegadeesh, Russ Wermers. Journal of Financial and Quantitative Analysis, 2000

793 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0139df2576870e79eb5dd2fd08e999e1ae8d8f7c

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Citations in the corpus

Can Mutual Funds Outguess the Market: Evidence from Bangladesh? (2016, background): “Using all mutual funds in the U.S. survived between January 1, 1975 and January 1, 1995, analyzing book-to-market, size, momentum and turnover of stocks held in deciles, Chen, Jegadeesh, and Wermers [5] noticed that growth funds have distinct ability in selecting undervalued large-growth stocks.”
Judging Fund Managers by the Company They Keep (2005, positive): “Useful evidence on the importance of this issue is provided by Chen, Jegadeesh, and Wermers (2000), who ¯nd that stocks that experience net purchases by mutual funds have higher subsequent returns than stocks that experience net sales.”
Do Funds Make More When They Trade More (2016, positive): “Chen, Jegadeesh, and Wermers (2000) ﬁnd that stocks recently bought by funds in aggregate outperform stocks recently sold, suggesting that funds have stock-picking skill.”
Investing in Mutual Funds when Returns are Predictable (2006, neutral): “We also note that maximizing a quadratic utility function such as that in equation (4) ultimately could lead to optimal portfolios that are not only conditionally efficient, but also unconditionally efficient in the sense of Hansen and Richard (1987), which generalizes the traditional mean-variance ”
Managerial Ability, Compensation, and the Closed‐End Fund Discount (2007, background): “For example, Chen, Jegadeesh, and Wermers (2000) find a significant gap between the long-horizon returns of stocks that mutual funds buy and of stocks that they sell, and Litov et al. (2005) find that stocks that funds buy earn significantly higher returns at the next earnings announcement than…”
Breadth of Ownership and Stock Returns (2002, methodology): “To implement this control, we create portfolio benchmarks using a characteristics-based procedure similar to Daniel et al. (1997). At the end of every quarter, we assign stocks to market-cap quintiles based on NYSE breakpoints.”
How Smart are the Smart Guys? A Unique View from Hedge Fund Stock Holdings (2009, neutral): “Chen, Jegadeesh, and Wermers (2000) show that mutual fund trading, but not their holdings, has predictive power for the cross-section of returns, but Bennett, Sias, and Starks (2003) find that the trading of all institutions fails to predict future returns.”
Evaluating Mutual Fund Performance (2001, neutral): “Although consistent with the empirical evidence (Chen et al. (2000)), this is, nevertheless, a critical presumption.”
The Interim Trading Skills of Institutional Investors (2011, background): “Although Berk and Green (2004) show that fund size is positively associated with skill, many empirical studies actually find evidence of a negative relation between fund size and performance (Chen et al. (2004), Yan (2008), KSZ (2008), Lewellen (2009), and Edelen, Evans, and Kadlec (2009)).”