Detecting Superior Mutual Fund Managers: Evidence from Copycats
研究投资者能否提前识别优秀基金经理，通过分析模仿基金的选择发现，模仿者倾向于选择历史业绩好、资金流入多的基金，但目标基金业绩随后反转，表明优秀经理的技能可能源于私有信息。
We examine the ex ante ability of investors to identify superior mutual fund managers among the investor set likely most able, and with the greatest incentive to do so, their rivals. Identifying actual copycat funds via comparisons of trading in consecutive periods, we find little evidence to suggest that managers are able to detect superior funds. Copycats select funds with high prior performance and investment inflows, and the performance of the target fund reverses following copying initiation. If superior managers exist, our results suggest that the source of skill lies in private information obtained by these managers. These results are consistent with information models indicating that private, but not public, information can be profitable.