Is Timing Everything? The Value of Mutual Fund Manager Trades
利用持仓数据开发新指标，测试共同基金在股票、行业和特征层面的交易与选股能力，发现1980-1994年的技能主要来自行业内的正确交易，但1995-2007年及全样本显示基金无法产生超额收益。
I develop new measures of the value of active mutual fund management using portfolio holdings. These measures simultaneously test for trading and selection skill within stocks, industries, and characteristics. I demonstrate that most of the skill documented in prior studies comes from correctly trading stocks within industries, though funds also have some skill in timing industries. However, prior research focuses on the period 1980‐1994. I also test the hold out sample 1995‐2007. Contrary to prior results, the latter period (and the full sample) demonstrates that mutual funds generate no excess returns from any category of skill .