Network centrality, style drift, and mutual fund performance

Li Yi, Li Xiao and Yinkai Liao

Research in International Business and Finance, 2024, vol. 70, issue PA

Abstract: This paper examines how style drift behavior of Chinese fund managers moderates the impact of network centrality on fund performance. We first construct network connections of mutual funds based on the top ten stocks and find that network centrality generates a favorable influence on risk-adjusted performance. We further measure the total style drift of the top ten stocks from size, value, and momentum dimensions, and decompose it into the active and passive style drift components. Our results indicate that higher style drift leads to worse investment performance. More importantly, we find that in spite of total style drift having a weak moderating effect, active (passive) style drift exerts a significantly negative (positive) moderating effect on the positive relationship between centrality and performance. The findings imply that fund managers with high network centrality can reduce active style drift for having superior performance and benefit from their passive style drift.

Keywords: Network centrality; Style drift; Mutual fund performance; Moderating effect; China (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531924001417
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:riibaf:v:70:y:2024:i:pa:s0275531924001417

DOI: 10.1016/j.ribaf.2024.102348

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().