Visible Hands: Professional Asset Managers' Expectations and the Stock Market in China

John Ammer, John Rogers, Gang Wang () and Yang Yu
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John Ammer: https://www.federalreserve.gov/econres/john-ammer.htm

No 1362, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We study how professional fund managers' growth expectations affect the actions they take with respect to equity investment and in turn the effects on prices. Using novel data on China's mutual fund managers' growth expectations, we show that pessimistic managers decrease equity allocations and shift away from more-cyclical stocks. We identify a strong short-run causal effect of growth expectations on stock returns, despite statistically significant delays in price discovery from short-sale constraints. Finally, we find that an earnings-based measure of price informativeness is increasing in fund investment.

Keywords: mutual fund managers; chinese financial markets; economic growth expectations; price informativeness; textual analysis (search for similar items in EconPapers)
JEL-codes: D80 E66 G11 G12 G23 (search for similar items in EconPapers)
Date: 2022-12
New Economics Papers: this item is included in nep-cna, nep-fdg, nep-fmk and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:1362

DOI: 10.17016/IFDP.2022.1362

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