Does Stock Return Momentum Explain the “Smart Money” Effect?

By Travis R. A. Sapp, Ashish Tiwari. 2004

323 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e2d8c98192110333f1cd451a266ead273e5785a0

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Citations in the corpus

Mutual Fund Flows and Investor Returns: An Empirical Examination of Fund Investor Timing Ability (2007, unknown): “Sapp and Tiwari (2004), however, demonstrate that the smart money effect is explained by stock return momentum over the short term. Further research by Frazzini and Lamont (2006) suggests that poor fund selection decisions end up costing longer-term investors (those who do not rebalance quarterly) a”
A flow-based explanation for return predictability (2012, unknown): “See, for example, Warther (1995), Edelen and Warner (2001), Gompers and Metrick (2001), Goetzmann and Massa (2003), Wermers (2003), Teo and Woo (2004), Braverman, Kandel, and Wohl (2008), and Jotikasthira, Lundblad, and Ramadorai (2010).”
The Liquidity Risk of Liquid Hedge Funds (2011, background): “20 Sapp and Tiwari (2004) show that, for mutual funds, the stock momentum phenomenon shown by Jegadeesh and Titman (1993) can explain the smart money effect.”
Behavioral Biases of Mutual Fund Investors (2011, unknown): “Sirri and Tufano (1998), Bergstresser and Poterba (2002), and Sapp and Tiwari (2004) find that fund flows tend to chase funds with high past returns.”
Country-Specific Sentiment and Security Prices (2011, unknown): “For brevity and for consistency with prior studies (Zheng, 1999; Sapp and Tiwari, 2004; and Keswani and Stolin, 2008), only results for normalized net cash flow as measured in eq.”
What do Consumers’ Fund Flows Maximize? Evidence from Their Brokers’ Incentives (2013, unknown): “The second regression controls for potential momentum effects by including lagged ranked return, and finds similar results (see Sapp and Tiwari (2004)).”
Conflicting Family Values in Mutual Fund Families (2013, background): “, Gruber (1996), Zheng (1999), and Sapp and Tiwari (2004)) to examine this”
Which Money is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors (2008, methodology): “Given that Sapp and Tiwari (2004) challenge the Gruber (1996) and Zheng (1999) smart money effect in the United States, how do our U.K. findings relate to the previous literature?”
Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns (2008, methodology): “Sapp and Tiwari (2004), for example, argue that the short-horizon smart money effect merely reflects the price momentum effect of Jegadeesh and Titman (1993). If an individual follows a strategy of sending money to funds with past high returns in the last year and withdrawing money from funds with l”