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Mutual Funds and the Asset Growth Anomaly
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Bok Baik | - |
dc.contributor.author | 김중배 | - |
dc.date.accessioned | 2017-07-14T05:14:42Z | - |
dc.date.available | 2017-07-14T05:14:42Z | - |
dc.date.issued | 2015-02 | - |
dc.identifier.other | 000000025681 | - |
dc.identifier.uri | https://hdl.handle.net/10371/124565 | - |
dc.description | 학위논문 (석사)-- 서울대학교 대학원 : 경영학과, 2015. 2. Bok Baik. | - |
dc.description.abstract | 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. | - |
dc.description.tableofcontents | Tables of Contents
1. Introduction 2. Literature Review and Hypotheses 2.1. Asset Growth Anomaly 2.2. Mutual Funds 3. Research Design 3.1. Data 3.2. Identification of Actively Managed Mutual Funds 3.3. Identification of Mutual Funds Trading on Asset Growth 4. Results 4.1. Asset Growth Anomaly and Mutual Funds 4.2. Existence of Mutual Funds Exploiting Asset Growth 4.3. Possible Explanations for Mutual Funds Not Using Asset Growth 5. Conclusions References Appendix A: Definition of Variables Table 1: Descriptive Statistics Table 2: Stock Returns across Asset Growth Deciles Table 3: Examination of Mutual Funds Using Asset Growth Anomaly Strategy Table 4: The Persistence of Mutual Funds with Asset Growth Strategy Table 5: Stock Holdings of Mutual Funds across Asset Growth Deciles Table 6: Mutual Fund Returns across TIM Deciles Table 7: Mutual Fund Characteristics across TIM Deciles Table 8: Analyst Recommendations across TIM Deciles | - |
dc.format | application/pdf | - |
dc.format.extent | 560362 bytes | - |
dc.format.medium | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | 서울대학교 대학원 | - |
dc.subject | Asset growth anomaly | - |
dc.subject | Mutual funds | - |
dc.subject | Analyst recommendation | - |
dc.subject.ddc | 658 | - |
dc.title | Mutual Funds and the Asset Growth Anomaly | - |
dc.type | Thesis | - |
dc.contributor.AlternativeAuthor | Jungbae Kim | - |
dc.description.degree | Master | - |
dc.citation.pages | 5, 57 | - |
dc.contributor.affiliation | 경영대학 경영학과 | - |
dc.date.awarded | 2015-02 | - |
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