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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26649
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| Title: | CAN MUTUAL FUND MANAGERS PICK STOCKS? EVIDENCE FROM THEIR TRADES PRIOR
TO EARNINGS ANNOUNCEMENTS |
| Authors: | Baker, Malcolm
Litov, Lubomir
Wachter, Jessica A.
Wurgler, Jeffrey |
| Issue Date: | 16-Feb-2005 |
| Series/Report no.: | SC-AM-05-02 |
| Abstract: | We measure the stock-picking skill of mutual fund managers based on the
returns realized around the subsequent earnings announcements of the
stocks that they hold and trade. Relative to standard methodologies,
this approach exploits the most informative segments of the returns data
and ameliorates the joint hypothesis problem inherent in tests of
stock-picking skill. Consistent with skilled trading, we find that, on
average, stocks that funds buy earn significantly higher returns at
subsequent earnings announcements than stocks that they sell. According
to our measures of skill, certain funds perform persistently better than
others, and the best performers tend to have a growth objective, large
size, high turnover, and use incentive fees to motivate managers. |
| URI: | http://hdl.handle.net/2451/26649 |
| Appears in Collections: | Asset Management
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