منابع مشابه
Measuring the skill of the fund manager∗
I introduce a conditional measure of skill, the correlation between fund's trades and future news of the stocks traded. Using this measure, I show that the average fund manager in the cross-section of U.S. equity mutual funds has stock picking skill. This skill is mainly driven by manager's ability to predict rm's cashow news. Importantly, this skill has short term persistence, which is not exp...
متن کاملWhy constrain your mutual fund manager ? $
We examine the form, adoption rates, and economic rationale for various mutual fund investment restrictions. A sample of U.S. domestic equity funds from 1994 to 2000 reveals systematic patterns in investment constraints, consistent with an optimal contracting equilibrium in the fund industry. Restrictions are more common when (i) boards contain a higher proportion of inside directors, (ii) the ...
متن کاملMeasuring Skill in the Mutual Fund Industry∗
Using the dollar-value that a mutual fund adds as the measure of skill, we find that the average mutual fund adds about $2 million per year and that this skill persists for as long as 10 years. We further document that investors recognize this skill and reward it by investing more capital with better funds. Better funds earn higher aggregate fees, and there is a strong positive correlation betw...
متن کاملMutual Fund Performance: Luck or Skill?
Should individuals include actively managed mutual funds in their investment portfolios? They should if and only if the result of active management is superior performance due to skill. This paper employs a previously ignored statistical technique to detect whether skill drives the superior performance of some mutual funds. This technique, the generalized binomial distribution, models a sequenc...
متن کاملFund Manager Allocation
We show that fund families allocate their fund managers to different market segments such that their skill is rewarded best. Whether a fund manager’s skill is rewarded by higher alpha depends on the efficiency of the market segment in which she works. Even skilled managers can generate alpha only if the market segment is inefficient. Fund families take this relation between skill and inefficien...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2015
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2015.06.012