Time-Varying Fund Manager Skill

Marcin Kacperczyk, Stijn Van Nieuwerburgh and Laura Veldkamp

No 17615, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: G00 G11 G2 (search for similar items in EconPapers)
Date: 2011-11
Note: AP CF
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Published as Time-Varying Fund Manager Skill, (with Stijn van Nieuwerburgh and Laura Veldkamp), 2014, Journal of Finance 69, forthcoming.

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Related works:
Journal Article: Time-Varying Fund Manager Skill (2014)
Working Paper: Time-Varying Fund Manager Skill (2012)
Working Paper: Time-varying fund manager skill (2012)
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