On the style switching behavior of mutual fund managers

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aut.conference.typePaper Published in Proceedings
aut.researcherFrijns, Bart Pieter Marie
dc.contributor.authorFrijns, BPM
dc.contributor.authorGilbert, A
dc.contributor.authorZwinkels, R
dc.date.accessioned2013-09-12T00:08:11Z
dc.date.available2013-09-12T00:08:11Z
dc.date.copyright2013-06-12
dc.date.issued2013-06-12
dc.description.abstractThis paper develops an empirically testable model that is closely related to theoretical model for style switching behavior of Barberis and Shleifer (2003). We implement this model to examine the style switching behavior of US domestic equity mutual fund managers. Using monthly data for 2,044 mutual funds over the period 1961-2010, we find strong evidence for style switching behavior: on average nearly 53% of the funds in our sample engage in style switching. Overall, we find that growth funds tend to behave more as positive feedback (momentum) traders, whereas value funds tend to behave more as negative feedback (contrarian) traders. Linking the style switching behavior to fund characteristics, we typically find that funds that engage more aggressively in style switching tend to be younger and have higher total expense ratios. Linking the style switching behavior to risk-adjusted performance, we find no evidence of the ability of style switching to generate positive alpha.
dc.identifier.citation2013 FMA European Conference, Luxembourg, 2013-06-12 to 2013-08-14
dc.identifier.urihttps://hdl.handle.net/10292/5658
dc.publisherFinancial Management Association International
dc.relation.urihttp://www.fma.org/Luxembourg/Papers/Style_Switching_Mutual_Funds.pdf
dc.rightsFMA authorizes you to view and download a single copy of the material on this web site solely for your personal, non-commercial use. You may not sell or modify our site material or reproduce, display, publicly perform, distribute, or otherwise use the material in any way for any commercial purpose.
dc.rights.accessrightsOpenAccess
dc.subjectMutual Fund Managers
dc.subjectStyle Switching
dc.subjectFeedback Trading
dc.titleOn the style switching behavior of mutual fund managers
dc.typeConference Contribution
pubs.elements-id153163
pubs.organisational-data/AUT
pubs.organisational-data/AUT/Business & Law
pubs.organisational-data/AUT/Business & Law/Finance
pubs.organisational-data/AUT/Business & Law/Finance/Finance PBRF 2012
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