Measuring the skill of the fund manager∗
نویسنده
چکیده
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 explained by momentum e ect, and is positively related to the traditional measures of performance. Consistent with theory, fund ows are increasing in managerial skill. JEL Classi cation: G11, G20, G23
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