Fund Manager Use of Public Information: New Evidence on Managerial Skills
Year: 2007
Type: article
Abstract: 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.
Source: The Journal of Finance
Authors: MARCIN KACPERCZYK, AMIT SERU
Institutions: University of British Columbia, University of Michigan
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3125350408