Fund Manager Use of Public Information: New Evidence on Managerial Skills

In this: publication
By this: publisher
In this Subject: Finance
By this author: KACPERCZYK, MARCIN ;&nbsp; SERU, AMIT

Authors: KACPERCZYK, MARCIN; SERU, AMIT

Source: The Journal of Finance, Volume 62, Number 2, April 2007 , pp. 485-528(44)

Buy & download fulltext article:

Price: $48.00 plus tax (Refund Policy)

Abstract:

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 R² 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.

Document Type: Research article

DOI: http://dx.doi.org/10.1111/j.1540-6261.2007.01215.x

Publication date: 2007-04-01