Journal of Financial Economics ( IF 8.238 ) Pub Date : 2021-07-22 , DOI: 10.1016/j.jfineco.2021.07.012 John Jianqiu Bai 1 , Yuehua Tang 2 , Chi Wan 3 , H. Zafer Yüksel 4
We study how mutual fund managers gain an edge in selecting stocks in an era of globalization. We use textual analysis to construct a measure that captures a mutual fund's offshore exposure concentration through holding US multinational firms. We find that funds with a higher offshore concentration index (OCI) perform significantly better, with the difference in four-factor alpha between the top and bottom deciles amounting to 2.95% per annum. Fund managers’ overweighting of firms with operations in certain countries can be partly attributed to their foreign ethnicity. High OCI fund managers have an information advantage regarding firms’ fundamentals, such as earnings.
中文翻译:
全球化时代的基金经理技能:离岸集中度和基金业绩
我们研究了在全球化时代,共同基金经理如何在选择股票方面获得优势。我们使用文本分析来构建衡量共同基金通过持有美国跨国公司的离岸风险集中度的衡量标准。我们发现离岸集中度指数 (OCI) 较高的基金表现明显更好,顶部和底部十分位之间的四因子 alpha 差异达到每年 2.95%。基金经理偏重在某些国家开展业务的公司的部分原因是他们的外国种族。高 OCI 基金经理在公司基本面(如收益)方面具有信息优势。