Do actively managed mutual funds exploit stock market mispricing?

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dc.contributor.authorLee, Jaeramko
dc.contributor.authorJeon, Hyunglaeko
dc.contributor.authorKang, Jangkooko
dc.contributor.authorLee, Changjunko
dc.date.accessioned2020-07-18T00:55:44Z-
dc.date.available2020-07-18T00:55:44Z-
dc.date.created2020-07-10-
dc.date.created2020-07-10-
dc.date.issued2020-07-
dc.identifier.citationNORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.53-
dc.identifier.issn1062-9408-
dc.identifier.urihttp://hdl.handle.net/10203/275490-
dc.description.abstractConstructing a proxy for mispricing with 15 well-known stock market anomalies, we examine whether actively managed mutual funds exploit mispricing. We find that, in the aggregate, mutual funds overweight overvalued stocks and underweight undervalued stocks relative to a passive benchmark, and this tendency is explained by the ill-motivated trades of agency-prone fund managers. In addition, we find that mutual funds with the highest weights in undervalued stocks outperform those with the highest weights in overvalued stocks by an annualized three-factor alpha of 2.12% (t = 2.38), implying that slanting portfolios based on our proxy helps mutual funds improve performance.-
dc.languageEnglish-
dc.publisherELSEVIER SCIENCE INC-
dc.titleDo actively managed mutual funds exploit stock market mispricing?-
dc.typeArticle-
dc.identifier.wosid000541539200008-
dc.identifier.scopusid2-s2.0-85082406002-
dc.type.rimsART-
dc.citation.volume53-
dc.citation.publicationnameNORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE-
dc.identifier.doi10.1016/j.najef.2020.101189-
dc.contributor.localauthorKang, Jangkoo-
dc.contributor.nonIdAuthorLee, Jaeram-
dc.contributor.nonIdAuthorJeon, Hyunglae-
dc.contributor.nonIdAuthorLee, Changjun-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorMutual funds-
dc.subject.keywordAuthorManagerial skill-
dc.subject.keywordAuthorAnomalies-
dc.subject.keywordAuthorMispricing-
dc.subject.keywordPlusINSTITUTIONAL INVESTORS-
dc.subject.keywordPlusPERFORMANCE-
dc.subject.keywordPlusRETURNS-
dc.subject.keywordPlusINFORMATION-
dc.subject.keywordPlusWINNERS-
dc.subject.keywordPlusFLOWS-
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