Arbeitspapier
Forecasting stock returns through an efficient aggregation of mutual fund holdings
We develop a stock return-predictive measure based on an efficient aggregation of the portfolio holdings of all actively managed U.S. domestic equity mutual funds, and use this model to study the source of fund managers' stock-selection abilities. This generalized-inverse alpha (GIA) approach reveals differences in the ability of managers to predict firms' future earnings from fundamental research. Notably, the GIA's return-forecasting power is not subsumed by publicly available quantitative predictors, such as momentum, value, and earnings quality, nor is it subsumed by methods shown in past research to forecast stock returns using fund holdings or trades.
- Language
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Englisch
- Bibliographic citation
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Series: CFR Working Paper ; No. 06-09 [rev.]
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Wermers, Russ
Yao, Tong
Zhao, Jane
- Event
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Veröffentlichung
- (who)
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University of Cologne, Centre for Financial Research (CFR)
- (where)
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Cologne
- (when)
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2012
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Wermers, Russ
- Yao, Tong
- Zhao, Jane
- University of Cologne, Centre for Financial Research (CFR)
Time of origin
- 2012
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