Article ID: | iaor2009765 |
Country: | United Kingdom |
Volume: | 62 |
Issue: | 2 |
Start Page Number: | 485 |
End Page Number: | 528 |
Publication Date: | Apr 2007 |
Journal: | Journal of Finance |
Authors: | Kacperczyk Marcin, Seru Amit |
Keywords: | portfolio management |
We show theoretically that the responsiveness of a fund manager's portfolio allocations to changes in public information decreases in the manager's skill, We go on to estimate this sensitivity (RPI) as the R2 of the regression of changes in a manager's portfolio holdings on changes in public information using a panel of U.S. equity funds. Consistent with RPI containing information related to managerial skills, we find a strong inverse relationship between RPI and various existing measures of performance, and between RPI and fund flows. We also document that both fund- and manager-specific attributes affect RPI.