Christoffersen, Susan E. K. and Sarkissian, Sergei (2010): The demographics of fund turnover.
Download (256kB) | Preview
This article documents various demographic factors which influence mutual fund turnover including managerial experience, location, education, and gender. On average, funds in financial centers trade more but this excess turnover declines with experience. While most extra trading is concentrated among less experienced managers in financial centers, they do not outperform inexperienced managers located in smaller towns. Furthermore, managers in financial centers increase trading after good performance. This result is particularly strong for inexperienced, more educated male fund managers investing in growth stocks and located in New York. Our results provide strong evidence that demographic factors influence fund manager trading behavior.
|Item Type:||MPRA Paper|
|Original Title:||The demographics of fund turnover|
|Keywords:||Labor market; Mutual funds; Overconfident trading; Performance evaluation|
|Subjects:||G - Financial Economics > G2 - Financial Institutions and Services
J - Labor and Demographic Economics > J1 - Demographic Economics
J - Labor and Demographic Economics > J2 - Demand and Supply of Labor > J24 - Human Capital ; Skills ; Occupational Choice ; Labor Productivity
|Depositing User:||Sergei Sarkissian|
|Date Deposited:||07. Feb 2011 21:45|
|Last Modified:||30. Dec 2015 13:44|
Barber, B., Odean, T., 2000. Trading is hazardous to your wealth: The common stock investment performance of individual investors. J. Finance 55, 773-806.
Barber, B., Odean, T., 2001. Boys will be boys: gender, overconfidence, and common stock investment. Quart. J. Econ. 116, 261-292.
Beyer, S., 1990. Gender differences in the accuracy of self-evaluations of performance. J. Person. Soc. Psych., 59, 960-970.
Billett, M., Qian, Y., 2008. Are overconfident CEOs born or made? Evidence of self-attribution bias from frequent acquirers. Manag. Sci. 54, 1037-1051.
Carhart, M., 1997. On persistence in mutual fund performance. J. Finance 52, 57-82.
Chevalier, J., Ellison, G., 1999. Are some mutual fund managers better than others? Cross-sectional patterns in behavior and performance. J. Finance 54, 875-899.
Christoffersen, S., Keim, D., Musto, D., 2008. Valuable information and costly liquidity: Evidence from individual mutual fund trades. Working paper, McGill University.
Christoffersen, S., Sarkissian, S., 2009. City size and fund performance. J. Finan. Econ. 92, 252-275.
Christopherson, J., Ferson W., Glassman, D., 1998. Conditioning manager alphas on economic information: Another look at the persistence of performance. Rev. Finan. Stud. 11, 111-142.
Ciccone, A., Hall, R., 1996. Productivity and the density of economic activity. Amer. Econ. Rev. 86, 54-70.
Daniel, K., Hirshleifer, D., Subramanyam, A., 1998. Investor psychology and security market under- and overreactions. J. Finance 53, 1839-1885.
Daniel, K., Hirshleifer, D., Subramanyam, A., 2001. Overconfidence, arbitrage, and equilibrium asset pricing. J. Finance 56, 921-965.
Dow, J., Gorton, G., 1997. Noise trading, delegated portfolio management, and economic welfare. J. Polit. Economy 105, 1024-1050.
Edelen, R., 1999. Investor flows and the assessed performance of open-end mutual funds. J. Finan. Econ. 53, 439-466.
Edelen, R., Evans, R., Kadlec, G., 2008. Volume-weighted trading costs and mutual fund performance. Working paper, Boston College.
Fama, E., French, K., 1993. Common risk factors in the returns on stocks and bonds. J. Finan. Econ. 33, 3 56.
Fama, E., French, K., 1996. Multifactor explanations of asset pricing anomalies. J. Finance 51, 55-87.
Gervais S., Odean, T., 2001. Learning to be overconfident. Rev. Finan. Stud. 14, 1-27.
Glaeser, E., 1999. Learning in cities. J. Urban Econ. 46, 254-277.
Glaser, M., Weber, M., 2007. Overconfidence and trading volume. Geneva Risk Ins. Rev. 32, 1-36.
Griffin, D., Tversky, A., 1992. The weighing of evidence and the determinants of confidence. Cog. Psych. 24, 411-435.
Grinblatt, M., Titman, S., Wermers, R., 1995. Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior, Amer. Econ. Rev. 85, 1088-1105.
Heath, C., Tversky, A., 1991. Preferences and beliefs: ambiguity and the competence in choice under uncertainty. J. Risk Uncer. 4, 5-28.
Hirshleifer, D., 2001. Investor psychology and asset pricing. J. Finance 56, 1553-1597.
Hirshleifer, D. and G. Luo, 2001, On the survival of overconfident traders in a competitive securities market, J. Fin. Mark. 4, 73-84.
Hong, H., Kubik, J., Stein, J., 2004. Social interaction and stock-market participation, J. Finance 59, 137-163.
Hong, H., Kubik, J., Stein, J., 2005. Thy neighbor's portfolio: Word-of-mouth effects in the holdings and trades of money managers. J. Finance 60, 2801-2824.
Jacobs, J., 1969. The economy of cities. New York: Vintage.
Kacperczyk, M., Seru, A., 2007. Fund manager use of public information: New evidence on managerial skills. J. Finance 62, 485-528.
Kacperczyk, M., Sialm, C., Zheng, L., 2005. On the industry concentration of actively managed mutual funds. J. Finance 62, 1983-2012.
Kacperczyk, M., Sialm, C., Zheng, L., 2008. Unobserved actions of mutual funds. Rev. Finan. Stud. 21, 2379-2416.
Kyle, A., Wang, F., 1997. Speculation duopoly with agreement to disagree: Can overconfidence survive the market test? J. Finance 52, 2073-2090.
Meehan, A., Overton, W., 1986. Gender differences in expectancies for success and performance on Piagetian spatial tasks. Mer.-Palm. Quart. 32, 427-441.
Odean, T., 1998. Volume, volatility, price, and profit when all traders are above average. J. Finance 53, 1887-1934.
Odean, T., 1999. Do investors trade too much? Amer. Econ. Rev. 89, 1279-1298.
Puri, M. Robinson, D., 2005. Optimism and economic choice. J. Finan. Econ. 86, 71-99.
Sapienza, P., Zingales, L., Maestripieri, D., 2009. Gender differences in financial risk aversion and career choices are affected by testosterone. Proc. NAS 106, 15268-15273.
Schrand, C., Zechman, S., 2010. Executive overconfidence and the slippery slope to fraud. Working paper, University of Pennsylvania.
Seru, A., Shumway, T., Stoffman, N., 2009. Learning by trading. Rev. Finan. Stud. 23, 705-739.
Statman, M., Thorley, S., Vorkink, K., 2007. Investor overconfidence and trading volume. Rev. Finan. Stud. 19, 1531-1565.
Wermers, R., 2000. Mutual fund performance: An empirical decomposition into stockpicking talent, style, transactions costs and expenses. J. Finance 55, 1655-1695.
Wheeler, C., 2001. Search, sorting, and urban agglomeration. J. Labor Econ. 19, 879-899.
Zheng, L., 1999. Is money smart? A study of mutual fund investors’ fund selection ability. J. Finance 54, 901-933.