Fund Manager Use of Public Information: New Evidence on Managerial Skills
AbstractWe 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"-super-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". Copyright 2007 by The American Finance Association.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by American Finance Association in its journal The Journal of Finance.
Volume (Year): 62 (2007)
Issue (Month): 2 (04)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Terrill Keasler & Chris McNeil, 2010. "Mad Money stock recommendations: market reaction and performance," Journal of Economics and Finance, Springer, vol. 34(1), pages 1-22, January.
- Cullen, Grant & Gasbarro, Dominic & Monroe, Gary S., 2010. "Mutual fund trades and the value of contradictory private information," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 378-387, February.
- Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2011.
"Risk Shifting and Mutual Fund Performance,"
Review of Financial Studies,
Society for Financial Studies, vol. 24(8), pages 2575-2616.
- Christoffersen, Susan E.K. & Sarkissian, Sergei, 2011.
"The demographics of fund turnover,"
Journal of Financial Intermediation,
Elsevier, vol. 20(3), pages 414-440, July.
- Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2012. "Performance inconsistency in mutual funds: An investigation of window-dressing behavior," CFR Working Papers 11-07 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Ekholm, Anders G., 2012. "Portfolio returns and manager activity: How to decompose tracking error into security selection and market timing," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 349-358.
- Laura Veldkamp, 2012.
"Time-varying fund manager skill,"
2012 Meeting Papers
68, Society for Economic Dynamics.
- Kacperczyk, Marcin & van Nieuwerburgh, Stijn & Veldkamp, Laura, 2012. "Time-Varying Fund Manager Skill," CEPR Discussion Papers 9025, C.E.P.R. Discussion Papers.
- Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2011. "Time-Varying Fund Manager Skill," NBER Working Papers 17615, National Bureau of Economic Research, Inc.
- Wermers, Russ & Yao, Tong & Zhao, Jane, 2012. "Forecasting stock returns through an efficient aggregation of mutual fund holdings," CFR Working Papers 06-09 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2013. "Window dressing in mutual funds," CFR Working Papers 11-07 [rev.2], University of Cologne, Centre for Financial Research (CFR).
- Javier Gil-Bazo & Pablo Ruiz-Verdu, 2006. "Yet Another Puzzle? The Relation Between Price And Performance In The Mutual Fund Industry," Business Economics Working Papers wb066519, Universidad Carlos III, Departamento de Economía de la Empresa.
- Paolo Colla & José M. Marín, 2010. "Performance evaluation in competitive REE models," Working Papers 2010-21, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Marcin Kacperczyk & Philipp Schnabl, 2011. "Implicit Guarantees and Risk Taking: Evidence from Money Market Funds," NBER Working Papers 17321, National Bureau of Economic Research, Inc.
- Agarwal, Vikas & Mullally, Kevin & Tang, Yuehua & Yang, Baozhong, 2013. "Mandatory portfolio disclosure, stock liquidity, and mutual fund performance," CFR Working Papers 13-04, University of Cologne, Centre for Financial Research (CFR).
- Zhi Da & Pengjie Gao & Ravi Jagannathan, 2007. "When Does a Mutual Fund's Trade Reveal its Skill?," NBER Working Papers 13625, National Bureau of Economic Research, Inc.
- Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008. "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers 14609, National Bureau of Economic Research, Inc.
- Brown, Nerissa C. & Wei, Kelsey D. & Wermers, Russ, 2007. "Analyst recommendations, mutual fund herding, and overreaction in stock prices," CFR Working Papers 07-08, University of Cologne, Centre for Financial Research (CFR).
- Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2011. "Window dressing in mutual funds," CFR Working Papers 11-07, University of Cologne, Centre for Financial Research (CFR).
- Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2009. "Rational Attention Allocation Over the Business Cycle," NBER Working Papers 15450, National Bureau of Economic Research, Inc.
- Vincent Glode & Burton Hollifield & Marcin Kacperczyk & Shimon Kogan, 2009. "Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry," NBER Working Papers 15038, National Bureau of Economic Research, Inc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.