The Cross-Section of Investing Skill
By: Ravindra Vadali Sastry
Publisher: [publisher not identified]
Published: 2012
Place of publication: [New York, N.Y.?]
Language: eng
Description: Building on insights from the economics of superstars, I develop an efficient method for estimating the skill of mutual fund managers. Outliers are especially helpful for disentangling skill from luck when I explicitly model the cross-sectional distribution of managerial skill using a flexible and realistic function. Forecasted performance is dramatically improved relative to standard regression estimates: an investor selecting (avoiding) the best (worst) decile of funds would improve risk-adjusted performance by 2% (3%) annually. The distribution of skill is found to be fat-tailed and positively skewed, providing a theoretical explanation for the convexity of fund flows.
Notes: Department: Business.

Thesis advisor: Michael S. Johannes.

Thesis (Ph.D.)--Columbia University, 2012.