S-Space College of Business Administration/Business School (경영대학/대학원) Dept. of Business Administration (경영학과) Theses (Master's Degree_경영학과)
Mutual Funds and the Asset Growth Anomaly
- Bok Baik
- 경영대학 경영학과
- Issue Date
- 서울대학교 대학원
- 학위논문 (석사)-- 서울대학교 대학원 : 경영학과, 2015. 2. Bok Baik.
- This paper examines whether actively managed mutual funds exploit the asset growth anomaly in the U.S. stock market. Using data on mutual funds’ stock holdings and fund returns for the period of 1985 - 2012, I find that mutual funds do not generally trade on and profit from the asset growth signal. Few mutual funds persistently invest in low growth stocks and enjoy higher fund returns. I further explore possible explanations why mutual funds do not trade on the asset growth anomaly. Higher return volatilities or idiosyncratic risks do not appear to explain why actively managed mutual funds do not trade on the asset growth anomaly. Analysts’ more favorable recommendations toward high growth stocks hinder mutual funds from implementing the strategy. Overall, the findings shed light on our understanding of the persistence of the asset growth anomaly.