Where are the smart investors? New evidence of the smart money effect

Hsin-Yi Yu

Journal of Empirical Finance, 2012, vol. 19, issue 1, 51-64

Abstract: Previous research debates whether investors are smart enough to invest in funds that subsequently outperform. This paper documents a robust smart money effect among top-performing small fund investors, even after controlling for the momentum factor. I further explore the reason for the smart money effect and find that such outperformance comes from the market-timing ability of smart investors. Market-timing ability distinguishes smart investors from investors who naively chase the winners.

Keywords: Smart money effect; Fund cash flow; Fund performance; Timing ability (search for similar items in EconPapers)
JEL-codes: G11 G20 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:19:y:2012:i:1:p:51-64

DOI: 10.1016/j.jempfin.2011.09.005

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