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Look For People, Not For Alpha: Mutual Funds Success And Managerial Intellectual Capital

Author

Listed:
  • Iuliia N. Naidenova

    () (National Research University Higher School of Economics)

  • Petr A. Parshakov

    () (National Research University Higher School of Economics)

  • Marina A. Zavertiaeva

    () (National Research University Higher School of Economics)

  • Eduardo Tome

    () (Universidade Europeia)

Abstract

This is the first paper to explore which characteristics of Russian fund managers are connected with a higher abnormal return (measured by Jensen’s alpha) and risk (beta) for mutual funds. While only some fund managers publish biographic sketches we use the Heckman procedure to control for self-selection issues. The results support the idea that individual characteristics indicate the possibility to earn abnormal alpha. The relationship between both fund performance measures and manager experience has inverted U-shape. The results can be used as a simple screening system that helps to choose a mutual fund to invest in without sophisticated calculations

Suggested Citation

  • Iuliia N. Naidenova & Petr A. Parshakov & Marina A. Zavertiaeva & Eduardo Tome, 2015. "Look For People, Not For Alpha: Mutual Funds Success And Managerial Intellectual Capital," HSE Working papers WP BRP 42/FE/2015, National Research University Higher School of Economics.
  • Handle: RePEc:hig:wpaper:42/fe/2015
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    References listed on IDEAS

    as
    1. Kim, Woochan & Wei, Shang-Jin, 2002. "Foreign portfolio investors before and during a crisis," Journal of International Economics, Elsevier, vol. 56(1), pages 77-96, January.
    2. Li, Haitao & Zhang, Xiaoyan & Zhao, Rui, 2011. "Investing in Talents: Manager Characteristics and Hedge Fund Performances," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(01), pages 59-82, March.
    3. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    4. Robert Kosowski & Allan Timmermann & Russ Wermers & Hal White, 2006. "Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis," Journal of Finance, American Finance Association, vol. 61(6), pages 2551-2595, December.
    5. Grinblatt, Mark & Titman, Sheridan, 1992. " The Persistence of Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 47(5), pages 1977-1984, December.
    6. Judith Chevalier & Glenn Ellison, 1999. "Are Some Mutual Fund Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance," Journal of Finance, American Finance Association, vol. 54(3), pages 875-899, June.
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    12. Gottesman, Aron A. & Morey, Matthew R., 2006. "Manager education and mutual fund performance," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 145-182, March.
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    More about this item

    Keywords

    Russia; equity funds; individual intellectual capital; Jensen’s alpha;

    JEL classification:

    • J24 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Human Capital; Skills; Occupational Choice; Labor Productivity
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • M50 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Personnel Economics - - - General

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