Time-Varying Fund Manager Skill

• 成果类型: Article
• 署名作者: Kacperczyk, Marcin; van Nieuwerburgh, Stijn; Veldkamp, Laura
• 署名单位: Imperial College London; National Bureau of Economic Research; National Bureau of Economic Research; New York University; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12084
• 发表日期: 2014
• 页码: 1455-1484
• 关键词: mutual funds; TIMING ABILITY; PERFORMANCE-MEASUREMENT; cross-section; RISK; MARKET; INFORMATION; ALPHAS

摘要

We propose a new definition of skill as general cognitive ability to pick stocks or time the market. We find evidence for stock picking in booms and market timing in recessions. Moreover, the same fund managers that pick stocks well in expansions also time the market well in recessions. These fund managers significantly outperform other funds and passive benchmarks. Our results suggest a new measure of managerial ability that weighs a fund's market timing more in recessions and stock picking more in booms. The measure displays more persistence than either market timing or stock picking alone and predicts fund performance.