Smart money, dumb money, and capital market anomalies

被引：131

作者：

Akbas, Ferhat ^{[1
]}

Armstrong, Will J. ^{[2
]}

Sorescu, Sorin ^{[3
]}

Subrahmanyam, Avanidhar ^{[4
]}

机构：

[1] Univ Kansas, Sch Business, Lawrence, KS 66045 USA

[2] Texas Tech Univ, Rawls Coll Business, Lubbock, TX 79409 USA

[3] Texas A&M Univ, Mays Business Sch, Dept Finance, College Stn, TX 77843 USA

[4] Univ Calif Los Angeles, Anderson Sch, Los Angeles, CA 90095 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2015年 / 118卷 / 02期

关键词：

Stock return anomalies; Mutual funds; Hedge funds; Fund flows; Mispricing; MUTUAL FUND FLOWS; CROSS-SECTION; HEDGE FUNDS; STOCK; RISK; INVESTMENT; ACCRUALS; SEARCH; GROWTH;

D O I：

10.1016/j.jfineco.2015.07.003

中图分类号：

F8 [财政、金融];

学科分类号：

020219 [财政学（含：税收学）];

摘要：

We investigate the dual notions that "dumb money" exacerbates well-known stock return anomalies and "smart money" attenuates these anomalies. We find that aggregate flows to mutual funds (dumb money) appear to exacerbate cross-sectional mispricing, particularly for growth, accrual, and momentum anomalies. In contrast, hedge fund flows (smart money) appear to attenuate aggregate mispricing. Our results suggest that aggregate flows to mutual funds can have real adverse allocation effects in the stock market and that aggregate flows to hedge funds contribute to the correction of cross-sectional mispricing. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：355 / 382

页数：28

共 51 条

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