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Finance Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/31336
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| Title: | Time-Varying Fund Manager Skill |
| Authors: | Kacperczyk, Marcin
Van Nieuwerburgh, Stijn
Veldkamp, Laura |
| Issue Date: | 1-Dec-2011 |
| Series/Report no.: | FIN-11-014 |
| Abstract: | Mutual fund managers can outperform the market by picking stocks or
timing the market successfully. Previous work has estimated picking and
timing skill, assuming that each manager is endowed with a fixed amount
of each and found some evidence of picking skills and little evidence of
timing skills among successful managers. This paper estimates skill
separately in booms and recessions and finds that the extent to which
managers focus on stock picking or market timing fluctuates with the
state of the economy. Stock picking is more prevalent in booms, while
market timing dominates in recessions. We use this finding to develop a
new methodology for detecting managerial skill. The results suggest that
some but not all managers have skill. We describe the characteristics of
the skilled managers and show that skilled managers significantly
outperform the market. |
| URI: | http://hdl.handle.net/2451/31336 |
| ISSN: | 1959902 |
| Appears in Collections: | Finance Working Papers
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