Seeking Alpha - and finding it : empirical studies of the impact of information acquisition behavior, market beliefs, and risk attitude on fund performance among equity managers in Sweden

Sammanfattning: This dissertation sheds light on the value of active fund management by empirically exploring, describing, and analyzing how fund managers attempt to deliver superior risk-adjusted fund performance (“Alpha”). It provides unique insights into the 140 individuals that actively managed over 38 billion USD (253 billion SEK) in early 2013 in Sweden through a mixture of archival studies, direct observations, in-depth interviews, and a questionnaire.The main findings were that equity fund managers sorted out a plethora of information. They prioritized, differently, information acquisition activities; whether through companies (in the investment universe), external (sell-side) advisors and/or internal (buy-side) sources. Cross-sectional evaluations indicated that less frequent acquisition of information through sell-side or buy-side sources had a positive impact on fund performance, whereas more frequent acquisition directly through companies had a positive impact on fund performance—up to a point. But there were no statistically significant linear relationships between market beliefs, risk willingness and fund performance.This dissertation applied an interdisciplinary perspective and attempts to contribute to theories and previous empirical research in economic psychology, accounting and finance. Additionally, this dissertation has practical implications for fund and pension savers (thus society at large), publicly-listed companies and capital market actors. Emelie Fröberg holds an MSc degree in Economics and Business from the Stockholm School of Economics, and an MSc degree in Industrial Engineering and Management from KTH Royal Institute of Technology. Her research areas are interdisciplinary, and include decision-making and preferences of individuals as well as determinants of investor performance.