Abstract

http://ssrn.com/abstract=1959902
 
 

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Time-Varying Fund Manager Skill


Marcin T. Kacperczyk


Imperial College London - Accounting, Finance, and Macroeconomics; National Bureau of Economic Research (NBER)

Stijn Van Nieuwerburgh


New York University Stern School of Business, Department of Finance; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Laura Veldkamp


New York University - Stern School of Business; National Bureau of Economic Research (NBER)

December 5, 2012

Journal of Finance, Forthcoming

Abstract:     
We propose a new definition of skill as a general cognitive ability to either pick stocks or time the market at different times. We find evidence for stock picking in booms and for market timing in recessions. Moreover, the same fund managers that pick stocks well in expansions also time the market well in recessions. These fund managers significantly outperform other funds and passive benchmarks. Our results suggest a new measure of managerial ability that gives more weight to a fund’s market timing in recessions and to a fund’s stock picking in booms. The measure displays far more persistence than either market timing or stock picking alone and can predict fund performance.

Number of Pages in PDF File: 60

Keywords: mutual funds, skills, business cycle

JEL Classification: G12, G14, G23

Accepted Paper Series


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Date posted: November 16, 2011 ; Last revised: December 6, 2012

Suggested Citation

Kacperczyk, Marcin T. and Van Nieuwerburgh, Stijn and Veldkamp, Laura, Time-Varying Fund Manager Skill (December 5, 2012). Journal of Finance, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1959902 or http://dx.doi.org/10.2139/ssrn.1959902

Contact Information

Marcin T. Kacperczyk (Contact Author)
Imperial College London - Accounting, Finance, and Macroeconomics ( email )
South Kensington campus
London SW7 2AZ
United Kingdom
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Stijn Van Nieuwerburgh
New York University Stern School of Business, Department of Finance ( email )
44 West 4th Street
Suite 9-190
New York, NY 10012-1126
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Laura Veldkamp
New York University - Stern School of Business ( email )
44 West 4th St. - Suite 7-180
New York, NY 100012
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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