Mutual Fund Crowding: Evidence from Canadian Stock Market
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School of Business | Bachelor's thesis
AbstractThis study provides evidence of mutual fund crowding and its inverse impact on subsequent stock returns in the Canadian stock market. Consistent with Zhong et al. (2017), an equal weighted strategy that is long the least crowded stocks and short the most crowded stocks yield a statistically significant monthly Carhart four-factor alpha of 0.93%. The findings are consistent with existing research and robust to time-varying expected stock returns. Adding to the prior literature, this study provides evidence that mutual fund crowding is not a phenomenon that exists only in the U.S. stock market.
Thesis advisorLof, Matthijs
mutual, fund, crowding, Canada, stock, market