Analyst forecasts and European mutual fund trading

Alexander Franck and Alexander Kerl

Journal of Banking & Finance, 2013, vol. 37, issue 8, 2677-2692

Abstract: This paper addresses the questions whether European mutual fund managers rely on sell-side analyst information and whether this behavior impacts fund performance. Results show that mutual funds significantly increase (decrease) their holdings in stocks when any of the consensus forecast measures increases (decreases) within the quarter prior to the observation period. Furthermore, mutual fund managers primarily attribute high information value to consensus forecast revisions that contain positive information, that are based on a sufficiently high number of inputs, and with more unanimous inputs to the consensus. Finally, following sell-side research seems to be beneficial for mutual fund managers since our results show that stock trades that are in line with analyst forecast revisions significantly outperform trades that are contrary to analyst research.

Keywords: Mutual fund trading; Sell-side analyst reports; Consensus forecasts; Forecast dispersion; Ownership structure; Mutual fund performance (search for similar items in EconPapers)
JEL-codes: G11 G15 G23 G24 G32 G34 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:8:p:2677-2692

DOI: 10.1016/j.jbankfin.2013.04.008

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