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
Authors:	Stotz, Olaf ; Lütje, Torben ; Menkhoff, Lukas ; von Nitzsch, Rüdiger
Publisher:	Hannover : Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Subject:	Mean aversion \| return expectations \| non-fundamental information \| loss aversion

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Series:	Diskussionsbeitrag ; 309
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	476319714 [GVK] hdl:10419/22421 [Handle] RePEc:han:dpaper:dp-309 [RePEc]
Classification:	G14 - Information and Market Efficiency; Event Studies ; G12 - Asset Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010276031