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

Posted: 28 Jun 2006

See all articles by Marcin T. Kacperczyk

Marcin T. Kacperczyk

Imperial College London - Accounting, Finance, and Macroeconomics; Centre for Economic Policy Research (CEPR)

Amit Seru

Stanford University

Multiple version iconThere are 2 versions of this paper

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 R-square 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.

Keywords: Managerial skill, public information, mutual funds, stock analysts

JEL Classification: M41, G23, G11

Suggested Citation

Kacperczyk, Marcin T. and Seru, Amit, Fund Manager Use of Public Information: New Evidence on Managerial Skills. Journal of Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=912685

Marcin T. Kacperczyk

Imperial College London - Accounting, Finance, and Macroeconomics ( email )

South Kensington campus
London SW7 2AZ
United Kingdom

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Amit Seru (Contact Author)

Stanford University ( email )

Stanford, CA 94305
United States

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