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Do Fund Managers Expect Mean Averting Returns?

Olaf Stotz, L\"utje, Torben, Lukas Menkhoff and R\"udiger von Nitzsch,
Authors registered in the RePEc Author Service: Torben Luetje ()

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Abstract: This paper finds that fund managers do not expect mean reverting returns, as suggested by theory and empirical evidence, but mean averting returns. The degree of mean aversion is positively related to preferences for non-fundamental information and loss aversion.

Keywords: Mean aversion; return expectations; non-fundamental information; loss aversion (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2004-12
New Economics Papers: this item is included in nep-fin
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