Journal of Banking & Finance Vol. 78 2017
Style drift: Evidence from small-cap mutual funds
Abstract
This paper documents that small-cap mutual funds allocate on average 27% of their portfolio to mid- and large-cap stocks. We find that larger and older small-cap funds are more likely to hold mid- and large-cap stocks, consistent with funds straying from their objective over time. Funds that invest heavily in mid- and large-cap stocks expose their investors to unanticipated risks but investors do not experience higher abnormal returns or performance persistence overall. These funds did outperform their peers by 3% annually in the most recent period between January 2003 and March 2010.
- DOI
- 10.1016/j.jbankfin.2017.01.009
- Volume
- 78
- Pages
- 42-57
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib