RT Journal Article
SR Electronic
T1 Academic Knowledge Dissemination in the Mutual<br/>Fund Industry: <em>Can Mutual Funds Successfully Adopt Factor</em>
               <br/>
               <em>Investing Strategies?</em>
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 157
OP 167
DO 10.3905/jpm.2014.40.4.157
VO 40
IS 4
A1 Eduard van Gelderen
A1 Joop Huij
YR 2014
UL https://pm-research.com/content/40/4/157.abstract
AB The authors investigate whether investors who have adopted investment strategies based on asset pricing anomalies documented in the academic literature consistently earn abnormal returns. They evaluate the performance of a large sample of U.S. equity mutual funds over the period from 1990 to 2010. They find evidence supporting added value for investors who adopt factor-investing strategies: low-beta, small-cap and value funds earn significant excess returns. They also find that these excess returns are sustainable and have not disappeared after the public dissemination of the anomalies. The authors propose some criteria that might be helpful to determine the successful application of academic insights in the context of investment strategies. Their findings have significant implications for the role of academic research and knowledge management in the investment management industry.TOPICS: Mutual fund performance, statistical methods, financial crises and financial market history