Do Fund Managers Expect Mean Averting Returns?

This paper finds that fund managers do not expect mean reverting returns, as suggested by theory and empirical evidence, but mean averting returns. The degree of mean aversion is positively related to preferences for non-fundamental information and loss aversion.

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Year of publication:	2004-12
Authors:	Stotz, Olaf ; L\"utje, Torben ; Menkhoff, Lukas ; von Nitzsch, R\"udiger
Institutions:	Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover
Subject:	Mean aversion \| return expectations \| non-fundamental information \| loss aversion

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Extent:	application/pdf
Series:	Hannover Economic Papers (HEP). - ISSN 0949-9962.
Type of publication:	Book / Working Paper
Notes:	8 pages
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005464774