The effect of mutual fund investment style on the accrual and book-to-market anomalies

Persistent Link:
http://hdl.handle.net/10150/280627
Title:
The effect of mutual fund investment style on the accrual and book-to-market anomalies
Author:
Melendrez, Kevin D.
Issue Date:
2004
Publisher:
The University of Arizona.
Rights:
Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.
Abstract:
This paper shows that institutional investor investment style affects the association between accruals and future returns and book-to-market ratio and future returns. Since both the accrual and book-to-market anomalies generate positive future returns to a trading strategy that is consistent with a value investment style, I predict and find that the accrual effect and the book-to-market effect are lower when the percentage of shares held by value mutual funds is high. These findings are consistent with value mutual funds mitigating mispricing. Additionally, these effects are unrelated to total or growth mutual fund ownership. I also find that changes in value mutual fund holdings are positively associated with the book-to-market ratio, consistent with value funds trading to take advantage of the book-to-market effect, while the results are inconsistent with growth funds trading to take advantage of the anomaly. These results suggest that institutional investor investment style at the fund level has an effect on the accrual and book-to-market ratio anomalies.
Type:
text; Dissertation-Reproduction (electronic)
Keywords:
Business Administration, Accounting.
Degree Name:
Ph.D.
Degree Level:
doctoral
Degree Program:
Graduate College; Business Administration
Degree Grantor:
University of Arizona
Advisor:
Dhaliwal, Dan

Full metadata record

DC FieldValue Language
dc.language.isoen_USen_US
dc.titleThe effect of mutual fund investment style on the accrual and book-to-market anomaliesen_US
dc.creatorMelendrez, Kevin D.en_US
dc.contributor.authorMelendrez, Kevin D.en_US
dc.date.issued2004en_US
dc.publisherThe University of Arizona.en_US
dc.rightsCopyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.en_US
dc.description.abstractThis paper shows that institutional investor investment style affects the association between accruals and future returns and book-to-market ratio and future returns. Since both the accrual and book-to-market anomalies generate positive future returns to a trading strategy that is consistent with a value investment style, I predict and find that the accrual effect and the book-to-market effect are lower when the percentage of shares held by value mutual funds is high. These findings are consistent with value mutual funds mitigating mispricing. Additionally, these effects are unrelated to total or growth mutual fund ownership. I also find that changes in value mutual fund holdings are positively associated with the book-to-market ratio, consistent with value funds trading to take advantage of the book-to-market effect, while the results are inconsistent with growth funds trading to take advantage of the anomaly. These results suggest that institutional investor investment style at the fund level has an effect on the accrual and book-to-market ratio anomalies.en_US
dc.typetexten_US
dc.typeDissertation-Reproduction (electronic)en_US
dc.subjectBusiness Administration, Accounting.en_US
thesis.degree.namePh.D.en_US
thesis.degree.leveldoctoralen_US
thesis.degree.disciplineGraduate Collegeen_US
thesis.degree.disciplineBusiness Administrationen_US
thesis.degree.grantorUniversity of Arizonaen_US
dc.contributor.advisorDhaliwal, Danen_US
dc.identifier.proquest3145099en_US
dc.identifier.bibrecord.b47209963en_US
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