How Smart is Smart Money? Evidence from Mutual Funds’ Exposure on Corporate Misconduct
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发布日期:2022年04月17日 上次修订日期:2023年04月27日

摘要

We examine how mutual funds’ trading and performance respond to corporate misconduct. We exploit a combined dataset of corporate misconduct and holding information of mutual funds and show that mutual funds tend to sell and buy more stocks of corporations with misconduct. Mutual funds with more misconduct exposure perform significantly worse than those with less misconduct exposure. Specifically, the top quintile portfolio of funds with the highest levels of misconduct exposure underperforms the bottom quintile by 1.57% to 1.97% on an annualized basis. Findings show that mutual funds undergo significant losses by investing in misconduct firms, which is more likely to be motivated by overconfidence than limited recognition.

Zhao Zhao ; Dongmin Kong ; How Smart is Smart Money? Evidence from Mutual Funds’ Exposure on Corporate Misconduct (2022年04月17日)http://www.cfrn.com.cn//lw/zbsc/tzjjlw/0293466aa0c844d6b9da4a5b714bec7b.htm

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