EconPapers    
Economics at your fingertips  
 

Forecasting stock returns through an efficient aggregation of mutual fund holdings

Russell Wermers (wermers@umd.edu), Tong Yao and Jane Zhao

No 06-09 [rev.], CFR Working Papers from University of Cologne, Centre for Financial Research (CFR)

Abstract: We develop a stock return-predictive measure based on an efficient aggregation of the portfolio holdings of all actively managed U.S. domestic equity mutual funds, and use this model to study the source of fund managers' stock-selection abilities. This generalized-inverse alpha (GIA) approach reveals differences in the ability of managers to predict firms' future earnings from fundamental research. Notably, the GIA's return-forecasting power is not subsumed by publicly available quantitative predictors, such as momentum, value, and earnings quality, nor is it subsumed by methods shown in past research to forecast stock returns using fund holdings or trades.

Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/70129/1/736379347.pdf (application/pdf)

Related works:
Journal Article: Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings (2012) Downloads
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:zbw:cfrwps:0609r

Access Statistics for this paper

More papers in CFR Working Papers from University of Cologne, Centre for Financial Research (CFR) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics (econstor@zbw-workspace.eu).

 
Page updated 2024-12-28
Handle: RePEc:zbw:cfrwps:0609r