Time‐Varying Fund Manager Skill
提出技能的新定义，发现基金经理在经济繁荣期擅长选股、衰退期擅长择时，且同一经理在两种时期均表现优异，据此构建的衡量指标能更好预测基金业绩。
ABSTRACT We propose a new definition of skill as general cognitive ability to pick stocks or time the market. We find evidence for stock picking in booms and market timing in recessions. Moreover, the same fund managers that pick stocks well in expansions also time the market well in recessions. These fund managers significantly outperform other funds and passive benchmarks. Our results suggest a new measure of managerial ability that weighs a fund's market timing more in recessions and stock picking more in booms. The measure displays more persistence than either market timing or stock picking alone and predicts fund performance.