Adjusting to the Information Environment: News Tangibility and Mutual Fund Performance

Oleg Chuprinin (), Sérgio Gaspar () and Massimo Massa ()
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Oleg Chuprinin: School of Banking and Finance, University of New South Wales, 2052 UNSW Sydney, Australia
Sérgio Gaspar: Finance Department, INSEAD,77305 Fontainebleau, France
Massimo Massa: Finance Department, INSEAD,77305 Fontainebleau, France

Management Science, 2019, vol. 65, issue 3, 1430-1453

Abstract: We study the relation between mutual funds’ performance and shocks to the public information environment of their investments. For each stock, we distinguish between quantitative, or tangible, news (expressed with numeric characters) and qualitative news (expressed as verbal content). We find that funds that trade more actively in response to changes in the stocks’ information tangibility earn higher risk-adjusted returns. Funds that are particularly sensitive to such fluctuations have smaller managerial teams and employ managers who are more focused. Overall, our evidence suggests that signals associated with changes in the type of public information constitute a channel of value creation in asset management.

Keywords: information; media; mutual funds (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:65:y:2019:i:3:p:1430-1453

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