Title

A First Look at Mutual Funds That Use Short Sales

Authors

Authors

H. H. Chen; H. Desai;S. Krishnamurthy

Comments

Authors: contact us about adding a copy of your work at STARS@ucf.edu

Abbreviated Journal Title

J. Financ. Quant. Anal.

Keywords

STOCK RETURNS; PICK STOCKS; HEDGE FUNDS; PERFORMANCE; INVESTMENT; RISK; INFORMATION; BENCHMARKS; MANAGERS; INDUSTRY; Business, Finance; Economics

Abstract

We provide a first look at short selling by mutual funds, a phenomenon not examined by prior research. Mutual funds that short do so frequently and in significant amounts, averaging about 16% of fund assets. These funds outperform benchmarks by 1.5% per year. An analysis of portfolio holdings shows that these funds generate abnormal performance from their short (4.1% per year) and long (1.5% per year) positions. Managers of short-selling mutual funds also exhibit superior performance in other funds they manage that do not use short sales. These findings suggest that managers of short-selling mutual funds are skilled.

Journal Title

Journal of Financial and Quantitative Analysis

Volume

48

Issue/Number

3

Publication Date

1-1-2013

Document Type

Article

Language

English

First Page

761

Last Page

787

WOS Identifier

WOS:000330462200004

ISSN

0022-1090

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