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Next, we analyze the stockholdings implied by the strategies examined here. The
evidence shows that predictability-based strategies hold mutual funds with similar size,
book-to-market, and momentum characteristics as their no-predictability counterparts.
Predictability-based strategies also hold stocks with characteristics similar to those of the
holdings of the three previously studied strategies noted earlier. Indeed, the overall
attributes of the funds selected by strategies that account for predictable manager skills are
quite normal—it is their level of performance that is remarkable....
Nội dung trích xuất từ tài liệu:
Mutual Funds and Bubbles: The Surprising Role of Contractual Incentives
