Are Professional Investment Managers Skilled? Evidence from Syndicated Loan Portfolios
研究利用银团贷款组合数据，发现CLO经理的业绩具有持续性，但顶尖经理扣除费用后难以保持领先，质疑市场效率。
Theory predicts that individual investor’s incentives to uncover new information about asset values are low if asset prices are efficient. This, in turn, implies that heterogeneity in investment manager skill, if present, should be most clearly visible among managers that focus on asset classes with less informationally efficient prices. We investigate this argument using a large sample of syndicated bank loan portfolios managed by collateralized loan obligation (CLO) managers. Using a CLO’s equity tranche cash-on-cash return to measure performance, we find strong persistence that is robust to an extensive set of risk controls. Although investors seem to derive their expectation about management quality from a manager’s realized performance and allocate more capital to “skilled” managers, top performers cope to stay ahead of net-of-fees. This questions the rationality of managers and the efficiency of the syndicated loan market. This paper was accepted by Wei Jiang, finance.