Fund Management Skill and Noise Trading

Posted: 22 May 2019

See all articles by Feng Dong

Feng Dong

Old Dominion University - Strome College of Business

John A. Doukas

Old Dominion University - Strome College of Business

Date Written: June 10, 2017

Abstract

In this research authors show that institutional investors’ skill matters the most during high sentiment periods when market signals are noisy. The results reveal that fund managers with the highest (lowest) skill add (lose) $7.71 ($5.64) million of value during high sentiment periods, compared with $3.74 million gain realized by the average manager during the entire sample period. When the market sentiment is low, high-skilled fund managers incur a value loss of only $0.18, much smaller than the $30.32 million loss realized by their low-skilled counterparts.

Keywords: Fund Management Skill, Fund Performance, Noise Trading

JEL Classification: G01, G10

Suggested Citation

Dong, Feng and Doukas, John A., Fund Management Skill and Noise Trading (June 10, 2017). https://doi.org/10.3905/jpm.2018.44.5.113. Available at SSRN: https://ssrn.com/abstract=3043900 or http://dx.doi.org/10.2139/ssrn.3043900

Feng Dong

Old Dominion University - Strome College of Business ( email )

Norfolk, VA 23529
United States

John A. Doukas (Contact Author)

Old Dominion University - Strome College of Business ( email )

2080 Constant Hall
Suite 2080
Norfolk, VA 23529-0222
United States
757-683-5521 (Phone)

HOME PAGE: http://www.efmaefm.org/0DOUKAS/doukas.php

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