Stern School of Business >
Finance Working Papers >
Please use this identifier to cite or link to this item:
|Title: ||Can mutual fund managers pick stocks? Evidence from their trades prior to earnings announcements|
|Authors: ||Baker, Malcolm|
Wachter, Jessica A.
|Issue Date: ||28-Jul-2004|
|Series/Report no.: ||FIN-04-015|
|Abstract: ||We test whether fund managers have stock-picking skill by comparing their holdings and trades prior to earnings announcements with the returns realized at those events. This approach largely avoids the joint-hypothesis problem with long-horizon studies of fund performance. 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. Funds display persistence in our event return-based metrics, and those that do well tend to have a growth objective, large size, high turnover, and use incentive fees to motivate managers.|
|Appears in Collections:||Finance Working Papers|
Items in Faculty Digital Archive are protected by copyright, with all rights reserved, unless otherwise indicated.