Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns

@article{Frazzini2005DumbMM,
  title={Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns},
  author={Andrea Frazzini and Owen A. Lamont},
  journal={NBER Working Paper Series},
  year={2005}
}
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694 Citations
Highly Influential Citations
45
Background Citations
262
Methods Citations
26
Results Citations
34

694 Citations

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Citation Type

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Aggregate mutual fund flows and security returns
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Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows
We find evidence that is consistent with the hypothesis that daily mutual fund flows may be instruments for investor sentiment about the stock market. We use this finding to construct a new index of…
Mutual Fund Herding and the Impact on Stock Prices
We analyze the trading activity of the mutual fund industry between 1975 and 1994 to determine whether funds "herd" when they trade stocks and to investigate the impact of herding on stock prices.…
Investing in Equity Mutual Funds
We construct optimal portfolios of equity funds by combining historical returns on funds and passive indexes with prior views about asset pricing and skill. By including both benchmark and…
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The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers
Abstract We investigate the value of active mutual fund management by examining the stockholdings and trades of mutual funds. We fine that stocks widely held by funds do not outperform other stocks.…
On the Industry Concentration of Actively Managed Equity Mutual Funds
Mutual fund managers may decide to deviate from a well-diversified portfolio and concentrate their holdings in industries where they have informational advantages. In this paper, we study the…
Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses
We use a new database to perform a comprehensive analysis of the mutual fund industry. We find that funds hold stocks that outperform the market by 1.3 percent per year, but their net returns…
The Real Effects of Investor Sentiment
TLDR
It is found that investment is more sensitive to mispricing for firms with higher R&D intensity or share turnover, suggesting that overpriced (underpriced) firms tend to over invest (under invest).
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