Research

Working papers

“Mutual Fund Strategy Changes and Performance” 2023 SSRN

(Job Market Paper)

I introduce a new active portfolio management measure, Strategy Shifting, which represents the divergence of the actual weights from the expected weights that a fund should assign to stocks if it follows previous stock characteristics based trading strategies. The measure assesses changes in trading strategies in response to shifts in fundamental information and is free from the benchmark mismatch problem. I show that mutual funds actively altering strategies contribute to improved fund performance. The finding remains robust after controlling for other active management measures and fund characteristics.

Keywords: Mutual Fund Performance, Active Management, Portfolio Management

“Retail Investor Attention and Mutual Fund Performance: Evidence from EDGAR Log Files” 2024 SSRN

(Under review at The Review of Financial Studies)

I develop a measure of retail investor attention to mutual funds, Total Views, by distinguishing between retail and sophisticated investors’ access to fund shareholder reports (N-CSR) via EDGAR. Total Views positively predicts retail fund flows and performance, with a 0.28% rise in future flows and a 0.02% improvement in alpha. An equal-weighted high-minus-low portfolio based on abnormal Total Views yields positive returns. Total Views strengthen the flow–performance relationship. Investor attention on reports from outperforming funds help attract additional inflows but do not cause more outflows for underperforming funds. Further analyses show that fund shareholder reports offer valuable, non-time-sensitive information throughout the year.

Keywords: Retail Investor Attention, EDGAR, Mutual Fund, Shareholder Reports

“Readability and Neutralness in Mutual Fund Shareholder Reports ” 2024 SSRN

I use large language models (LLMs) fine-tuned on financial texts to assess the readability and neutrality of mutual fund shareholder reports. A neutral tone typically predicts increased fund inflows, but this effect lessens with higher readability. When reports are highly readable, neutrality leads to outflows for outperforming funds and doesn't boost inflows for underperforming ones. Retail investors respond minimally to neutrality unless reports are highly readable, and their reactions are less pronounced than those of institutional investors. Limited access to shareholder reports restricts retail investors' information acquisition. These findings support the adoption of the Tailored Shareholder Report Rule.

Keywords: Mutual Fund Performance, Shareholder Reports, Large Language Models, Textual Analysis