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

Oleh:

Kacperczyk, Marcin ; Seru, Amit

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 2 (Apr. 2007), page 485-528.
Topik: Managerial; studies; managerial skills; information; investment advisors; estimating techniques; regression analysis; equity funds
Fulltext: p 485.pdf (234.59KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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 R... 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.

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