Frijns, B., Gilbert, A. and Zwinkels, R. (2016). On the Style-Based Feedback Trading of Mutual Fund Managers Journal of Financial and Quantitative Analysis, 51(3):771--800.
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Affiliated author
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Publication year2016
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JournalJournal of Financial and Quantitative Analysis
This paper examines the style-based feedback trading behavior of U.S. mutual fund managers. We provide an empirical version of Barberis and Shleifer's style-switching model. We find style-based feedback trading for 77% of the funds, half of which is positive (negative) feedback trading. There is evidence for twin style switching, where capital is channeled between value and growth, and between large- and small-cap. Growth (value) funds apply more positive (negative) feedback trading. Funds that switch more aggressively are younger and have higher expense ratios. Finally, we find that positive (negative) feedback trading yields positive (negative) alpha.