Fund manager use of public information: New evidence on managerial skills

• 成果类型: Article
• 署名作者: Kacperczyk, Marcin; Seru, Amit
• 署名单位: University of British Columbia; University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2007.01215.x
• 发表日期: 2007
• 页码: 485-528
• 关键词: mutual funds; performance; analysts; recommendations; COSTS; RISK; liquidity; stocks; style

摘要

We show theoretically that the responsiveness of a fund manager's portfolio allocations to changes in public information decreases in the manager's skill. We go on to estimate this sensitivity (RPI) as the R-2 of the regression of changes in a manager's portfolio holdings on changes in public information using a panel of U.S. equity funds. Consistent with RPI containing information related to managerial skills, we find a strong inverse relationship between RPI and various existing measures of performance, and between RPI and fund flows. We also document that both fund- and manager-specific attributes affect RPI.