Does stock return momentum explain the "smart money"effect ?

Deskripsi

Does the "smart money" effect documented by Gruber (1996) and Zheng (1999) reflect fund selection ability of mutual investors ? we examine the finding that investors are able to predict mutual fund performance and invest accordingly. We show that the smart money effect is explained by the stock return momentum phenomenon documented by Jegadeesh and Titman (1993). Further evidence suggests investors do not select funds based on a momentum investing style, but rather simply chase funds that were recent winners..Printed Journal