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- W1054577892 abstract "We examine whether informed trading around earnings announcements drives mutual fund performance. The measure is motivated by prior studies arguing that a mutual fund is skilled if it buys stocks with subsequent high earnings announcement returns. We find that this measure predicts future mutual fund returns. On average, after adjusting for Carhart’s four risk factors, the top decile of mutual funds outperforms the bottom decile by 44 basis points per quarter. By decomposing fund alphas into two components in their relations to earnings, we find that this measure is only associated with earnings-related fund alphas. This measure can also be used to predict stock returns at future earnings announcements." @default.
- W1054577892 created "2016-06-24" @default.
- W1054577892 creator A5001081058 @default.
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- W1054577892 date "2015-11-01" @default.
- W1054577892 modified "2023-10-07" @default.
- W1054577892 title "Informed trading around earnings and mutual fund alphas" @default.
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- W1054577892 doi "https://doi.org/10.1016/j.jbankfin.2015.08.008" @default.
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