Adjusting to the Information Environment: News Tangibility and Mutual Fund Performance
研究共同基金业绩与投资标的公共信息环境变化的关系，发现对新闻可量化性变化反应更积极的基金能获得更高风险调整收益，这为资产管理中的价值创造提供了新视角。
We study the relation between mutual funds’ performance and shocks to the public information environment of their investments. For each stock, we distinguish between quantitative, or tangible, news (expressed with numeric characters) and qualitative news (expressed as verbal content). We find that funds that trade more actively in response to changes in the stocks’ information tangibility earn higher risk-adjusted returns. Funds that are particularly sensitive to such fluctuations have smaller managerial teams and employ managers who are more focused. Overall, our evidence suggests that signals associated with changes in the type of public information constitute a channel of value creation in asset management. Data and the electronic appendix are available at https://doi.org/10.1287/mnsc.2017.2835 . This paper was accepted by Lauren Cohen, finance.