Document Type

Article

Publication Date

2019

DOI

10.1111/eufm.12234

Publication Title

European Financial Management

Pages

1-76

Abstract

Does fund management skill allow managers to identify mispriced securities more accurately and thereby make better portfolio choices resulting in superior fund performance when noise trading- a natural setting to detect skill - is more prevalent? We find skilled-fund managers with superior past performance to generate persistent excess risk-adjusted returns and experience significant capital inflows, especially in high sentiment times, high stock dispersion and economic expansion states when price signals are noisier. This pattern persists after we control for lucky bias, using the "false discovery rate" approach, which permits to disentangle manager "skill" from "luck".

Comments

This is the peer reviewed version of the following article:

Dong, F., & Doukas, J. A. (2019). When Fund Management Skill is More Valuable? European Financial Management, 1-76. doi:10.1111/eufm.12234,

which has been published in final form at https://doi.org/10.1111/eufm.12234. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.

Original Publication Citation

Dong, F., & Doukas, J. A. (2019). When fund management skill is more valuable? European Financial Management, 1-76. doi:10.1111/eufm.12234

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