logo
科言猫学术研究的AI总结
language
手机端手机端
  • Phone Feature微信小程序
简体中文简体中文
notice消息通知
博客博客
delete
arrow
返回

Active Fundamental Performance

delete2018-03-01
delete20
PRE
AI
H
Hao Jiang
L
Lu Zheng *
DOI：10.1093/rfs/hhy020delete
delete原文链接
delete原文求助
delete分享
delete收藏
摘要

摘要

En 中文
We propose a new measure, active fundamental performance (AFP), to identify skilled mutual fund managers. AFP evaluates fund investment skills conditioned on the release of firms' fundamental information. For each fund, we examine the covariance between deviations of its portfolio weights from a benchmark portfolio and the underlying stock performance on days when firms publicize fundamental information. Because asset prices on these information days better reflect firm fundamentals, AFPcan more effectively identify investment skills. From 1984 to 2014, funds in the top decile of high AFP subsequently outperformed those in the bottom decile by 2% to 3% per year.
Keyword:
MUTUAL FUND PERFORMANCE
EARNINGS-ANNOUNCEMENT DRIFT
FULLY REFLECT
STOCK-PRICES
RISK
INFORMATION
MANAGERS
RETURNS
INVESTMENT
LIQUIDITY
AI总结

AI总结

对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。

期刊

Review of Financial Studies 封面图
Review of Financial Studies
IF:
5.4
论文数:
2.8K
被引数:
3.0W

机构

University of California System 封面图
University of California System
学者数:
37.5W
论文数: 33.7W
被引数: 6.6K
M
michigan state university
学者数:
3.6W
论文数: 3.2W
被引数: 44
引用论文

引用论文

The Mammalian Jaw
err
IF0
err2012-08-05
err0
PREAI
errWalter Stalker Greaves
err分享
err收藏
Digital communication support and Alzheimer’s disease数字通信支持与阿尔茨海默病
errDementia
IF0
err2015-12-06
err0
PREAI
errAnna Ekström; Ulrika Ferm; Christina Samuelsson
err分享
err收藏
Glass transition behavior of Al- and Mg-based amorphous alloys
errJournal of Non-Crystalline Solids
IF0
err1990-02-01
err0
PREAI
errAkihisa Inoue; Katsumasa Ohtera; Masayoshi Kohinata; An-Pang Tsai; Tsuyoshi Masumoto
err分享
err收藏
Structure parameters and polarity of the wurtzite type compounds Sic—2H and ZnO
errSolid State Communications
IF0
err1979-12-01
err0
PREAI
errHeinz Schulz; K.H. Thiemann
err分享
err收藏
POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUM
errJOURNAL OF ACCOUNTING RESEARCH
IF6.3
err1989-01-01
err1.2K
PREAI
errBERNARD, VL; THOMAS, JK
err分享
err收藏
Are some mutual fund managers better than others? cross-sectional patterns in behavior and performance
errJOURNAL OF FINANCE
IF9.5
err2002-12-17
err502
PREAI
errChevalier, J; Ellison, G
err分享
err收藏
Time-Varying Fund Manager Skill
errJOURNAL OF FINANCE
IF9.5
err2014-07-18
err326
errOAAI
errKacperczyk, Marcin; van Nieuwerburgh, Stijn; Veldkamp, Laura
err分享
err收藏
Comparing the post-earnings announcement drift for surprises calculated from analyst and time series forecasts
errJOURNAL OF ACCOUNTING RESEARCH
IF6.3
err2006-03-01
err392
PREAI
errLivnat, J; Mendenhall, RR
err分享
err收藏
Luck versus Skill in the Cross-Section of Mutual Fund Returns
errJOURNAL OF FINANCE
IF9.5
err2010-09-21
err849
PREAI
errFama, Eugene F.; French, Kenneth R.
err分享
err收藏
Electrochromic devices: A comparison of several systems
errSolar Energy Materials and Solar Cells
IF0
err1995-12-01
err0
PREAI
errC Arbizzani; M Mastragostino; A Zanelli
err分享
err收藏
学者 查看更多内容