Active Fundamental Performance

• 成果类型: Article
• 署名作者: Jiang, Hao; Zheng, Lu
• 署名单位: Michigan State University; University of California System; University of California Irvine
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy020
• 发表日期: 2018
• 页码: 4688
• 关键词: MUTUAL FUND PERFORMANCE; EARNINGS-ANNOUNCEMENT DRIFT; FULLY REFLECT; stock-prices; RISK; INFORMATION; Managers; returns; INVESTMENT; liquidity

摘要

We propose a new measure, active fundamental performance (AFP), to identify skilled mutual fund managers. AFP evaluates fund investment skills conditioned on the release of firms' fundamental information. For each fund, we examine the covariance between deviations of its portfolio weights from a benchmark portfolio and the underlying stock performance on days when firms publicize fundamental information. Because asset prices on these information days better reflect firm fundamentals, AFPcan more effectively identify investment skills. From 1984 to 2014, funds in the top decile of high AFP subsequently outperformed those in the bottom decile by 2% to 3% per year.