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Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings

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  • Falkenstein, Eric G

Abstract

This investigation of the cross-section of mutual fund equity holdings for the years 1991 and 1992 shows that mutual funds have a significant preference towards stocks with high visibility and low transaction costs, and are averse to stocks with low idiosyncratic volatility. These findings are relevant to theories concerning investor recognition, a potential agency problem in mutual funds, tests of trend-following and herd behavior by mutual funds, and corporate finance. Copyright 1996 by American Finance Association.

Suggested Citation

  • Falkenstein, Eric G, 1996. "Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings," Journal of Finance, American Finance Association, vol. 51(1), pages 111-135, March.
    • Handle: RePEc:bla:jfinan:v:51:y:1996:i:1:p:111-35
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