Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns

By Andrea Frazzini, O. Lamont. 2008

827 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/10ce776d44db0eb022cdd2881fffd3db7406c54f

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Citations in the corpus

Institutional Investors and Stock Return Anomalies (2016, neutral): “This notion that institutions may contribute to mispricing is consistent with studies that suggest that institutional herding can be destabilizing [see i.e., Coval and Stafford (2007), Frazzini and Lamont (2008), Gutierrez and Kelly (2009) and Dasgupta, Prat, and Verardo (2011)].”
Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange (2019, background): “Also, the extensive debate about which group between individual investors (Frazzini & Lamont, 2005; Schmeling, 2007), institutional investors (Devault et al., 2019; Hong & Stein, 2007) or both (Nofsinger & Sias, 1999; Verma & Soydemir, 2009) are prone to sentiment biases has not been resolved yet.”
Winners in the Spotlight: Media Coverage of Fund Holdings as a Driver of Flows (2014, background): “Interpreted broadly, these findings highlight one mechanism that contributes to the less sophisticated, returnchasing fund flows (Frazzini and Lamont, 2008).”
Stock Price Fragility (2011, neutral): “2011), retail demand for options (Garleanu, Pedersen, and Poteshman, 2009), hedge fund demand for convertible bonds (Mitchell, Pedersen, and Pulvino, 2007)), investor demand for bonds (Greenwood and Vayanos, 2009), and mutual funds’ flow-driven demand for stocks (Coval and Stafford, 2007; Frazzini a”
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2014, background): “…returns include Baker and Wurgler (2006, 2007), Lemmon and Portniaguina (2006), Bergman and Roychowdhury (2008), Kaniel, Saar, and Titman (2008), Frazzini and Lamont (2008), Livnat and Petrovic (2008), Antoniou, Doukas, and Subrahmanyam (2012), Baker, Wurgler, and Yuan (2012), Chung, Hung, and…”
Institutional Trade Persistence and Long-term Equity Returns (2011, neutral): “Although they do not examine persistent institutional trading behavior, Coval and Sta¤ord (2007) and Frazzini and Lamont (2008) nd that retail ows are negatively correlated with future returns.”
Measuring Investor Sentiment with Mutual Fund Flows (2012, neutral): “While Frazzini and Lamont (2008) and Friesen and Sapp (2007) focus on the investors’ inability to allocate money across mutual funds, our focus is on the effect of mutual fund investments on the market as a whole.”
Uncovering expected returns: Information in analyst coverage proxies (2017, neutral): “…that use market prices to infer risk premia (e.g., Mehra and Prescott, 1985 ) and growth prospects (e.g., Lakonishok et al., 1994 ), fund flows to measure investor sophistication (e.g., Frazzini and Lamont, 2008 ), and firm-behavior to measure market sentiment (e.g., Baker and Wurgler, 2006 ).”
Investor sentiment, trading behavior and stock returns (2017, background): “One strand of research examines how various aspects of investor sentiments, such as market-wide sentiment (Stambaugh, Yu, and Yuan 2012), mutual fund flows (Frazzini and Lamont 2008) and turnover (Baker and Stein 2004), affect stock returns.”