Journal of Banking & Finance Vol. 104 2019
Gross profitability and mutual fund performance
Abstract
We find that mutual funds holding a larger concentration of high gross profitability stocks generate better future performance. The outperformance of these funds is not driven by a profitability-related risk premium and is not a byproduct of fund managers’ exploitation of other well-known investment strategies. We show that fund managers who trade on the gross profitability anomaly possess greater skill and create value by attracting future fund inflows and by growing fund assets under management. We contribute to both the mutual fund and market anomaly literatures by providing strong evidence that a sizable subset of mutual fund managers profit from an important market anomaly.
- DOI
- 10.1016/j.jbankfin.2019.05.001
- Volume
- 104
- Pages
- 31-49
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref