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How Smart Are the Smart Guys? A Unique View from Hedge Fund Stock Holdings
Open accessAbstract
Compared to mutual funds, hedge funds prefer smaller, opaque value securities, and have higher turnover and more active share bets. Decomposing returns into three components, we find that hedge funds are better than mutual funds at stock picking by only 1.32% per year on a value-weighted basis, and this result is insignificant on an equal-weighted basis or with price-to-sales benchmarks. Hedge funds exhibit no ability to time sectors or pick better stock styles. Surprisingly, we find only weak evidence of differential ability between hedge funds. Overall, our study raises serious questions about the perceived superior skill of hedge fund managers.
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Cites
Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings
FALKENSTEIN, E. G. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05204.x · Cited by 1,058
Cited by
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Kang, J.-K., Luo, J., & Na, H. S. (2018) · Journal of Financial Economics · doi:10.1016/j.jfineco.2018.03.005 · Cited by 412
Brav, A. (2009) · Foundations and Trends® in Finance · doi:10.1561/0500000026 · Cited by 287
Institutional investor cliques and governance
Crane, A. D., Koch, A., & Michenaud, S. (2019) · Journal of Financial Economics · doi:10.1016/j.jfineco.2018.11.012 · Cited by 214
Metadata
- Authors
- Griffin, J. M., & Xu, J.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2009-05-01
- Volume
- 22
- Issue
- 7
- Pages
- 2531-2570
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3124551975
- Cited by
- 342
- References
- 1
- FWCI
- 38.10
- Type
- journal article
- Language
- en
- Open access
- green
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