On Mutual Fund Investment Styles / Louis K.C. Chan, Hsiu-Lang Chen, Josef Lakonishok.

Format:

Book

Author/Creator:

Chan, Louis K.C.

Contributor:

National Bureau of Economic Research.

Chen, Hsiu-Lang.

Lakonishok, Josef.

Series:

Working Paper Series (National Bureau of Economic Research) no. w7215.

NBER working paper series no. w7215

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1999.

Summary:

We provide an exploratory investigation of mutual funds' investment styles. Funds' styles tend to cluster around a broad market benchmark. When funds deviate from the benchmark they are more likely to favor growth stocks with good past performance. There is some consistency in styles, although funds with poor past performance are more likely to change styles. Some evidence suggests that growth funds have better style-adjusted performance than value funds. The results are not sensitive to style identification procedure, but an approach based on fund portfolio characteristics performs better in predicting future fund returns.

Notes:

Print version record

July 1999.