How to Tell if a Money Manager Knows More? / Sergey Iskoz, Jiang Wang.

Format:

Book

Author/Creator:

Iskoz, Sergey.

Contributor:

National Bureau of Economic Research.

Wang, Jiang.

Series:

Working Paper Series (National Bureau of Economic Research) no. w9791.

NBER working paper series no. w9791

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2003.

Summary:

In this paper, we develop a methodology to identify money managers who have private information about future asset returns. The methodology does not rely on a specific risk model, such as the Sharpe ratio, CAPM, or APT. Instead, it relies on the observation that returns generated by managers with private information cannot be replicated by those without it. Using managers' trading records, we develop distribution-free tests that can identify such managers. We show that our approach is general with regard to the nature of private information the managers may have, and with regard to the trading strategies they may follow.

Notes:

Print version record

June 2003.