Time-Varying Fund Manager Skill / Marcin Kacperczyk, Stijn Van Nieuwerburgh, Laura Veldkamp.

Format:

Book

Author/Creator:

Kacperczyk, Marcin.

Contributor:

National Bureau of Economic Research.

Van Nieuwerburgh, Stijn.

Veldkamp, Laura.

Series:

Working Paper Series (National Bureau of Economic Research) no. w17615.

NBER working paper series no. w17615

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2011.

Summary:

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.

Notes:

Print version record

November 2011.