The DOI matches its Crossref record; 50 of the 50 references it cites were found in a registry or an index.
Fund Manager Use of Public Information: New Evidence on Managerial Skills
Open accessAbstract
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.
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Citations
Cites
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Managing with Style: The Effect of Managers on Firm Policies
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Cited by
Engelberg, J. E., Reed, A. V., & Ringgenberg, M. C. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.03.001 · Cited by 666
Mutual Fund's R 2 as Predictor of Performance
Amihud, Y., & Goyenko, R. (2012) · The Review of Financial Studies · doi:10.1093/rfs/hhs182 · Cited by 470
The Interim Trading Skills of Institutional Investors
PUCKETT, A., & YAN, X. (. (2011) · The Journal of Finance · doi:10.1111/j.1540-6261.2010.01643.x · Cited by 445
Winners in the spotlight: Media coverage of fund holdings as a driver of flows
Solomon, D. H., Soltes, E., & Sosyura, D. (2014) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.02.009 · Cited by 361
Why mutual funds “underperform.”
Glode, V. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2010.10.008 · Cited by 338
Metadata
- Authors
- KACPERCZYK, M., & SERU, A.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2007-03-20
- Volume
- 62
- Issue
- 2
- Pages
- 485-528
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3125350408
- Cited by
- 438
- References
- 50
- FWCI
- 27.16
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
