Time-varying fund manager skill
By: Marcin Kacperczyk, Stijn Van Nieuwerburgh, Laura Veldkamp
Contributors: Nieuwerburgh, Stijn van; National Bureau of Economic Research
Series: NBER working paper series -- working paper 17615; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 17615.
Publisher: National Bureau of Economic Research
Published: 2011
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 1/17/2012.

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