Time-Varying Fund Manager Skill

Marcin Kacperczyk, Stijn Van Nieuwerburgh and Laura Veldkamp

Journal of Finance, 2014, vol. 69, issue 4, 1455-1484

Abstract: type="main">

We propose a new definition of skill as general cognitive ability to pick stocks or time the market. We find evidence for stock picking in booms and market timing in recessions. Moreover, the same fund managers that pick stocks well in expansions also time the market well in recessions. These fund managers significantly outperform other funds and passive benchmarks. Our results suggest a new measure of managerial ability that weighs a fund's market timing more in recessions and stock picking more in booms. The measure displays more persistence than either market timing or stock picking alone and predicts fund performance.

Date: 2014
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Citations: View citations in EconPapers (184)

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Related works:
Working Paper: Time-Varying Fund Manager Skill (2012)
Working Paper: Time-varying fund manager skill (2012)
Working Paper: Time-Varying Fund Manager Skill (2011)
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