Over-weighting risk factor augmented with mutual fund managers' social networks

Xing Li and Keqiang Hou

Pacific-Basin Finance Journal, 2023, vol. 77, issue C

Abstract: We construct over-weighting premium factors that are derived from mutual funds' major holding stocks in the Chinese stock markets. The over-weighting premium is calculated as the spread between the portfolio return of the most popular stocks held by the mutual funds and those of the least popular stocks. We further augment the over-weighting factor with social network of mutual fund managers to explain their over-weight behavior. The over-weighting factor with social network outperforms the simple over-weighting factor and dominates both the typical Fama-French three-factor model and Carhart four factor model for Chinese stock market.

Keywords: Over-weighting factor; Social networks; Fund manager characteristics (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X22002098
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002098

DOI: 10.1016/j.pacfin.2022.101914

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().