Fund Manager Use of Public Information: New Evidence on Managerial Skills
从理论和实证上证明，基金经理对公共信息变化的反应程度（RPI）与其技能负相关，RPI越低，基金业绩越好，且RPI受基金和经理特征影响。
ABSTRACT We show theoretically that the responsiveness of a fund manager's portfolio allocations to changes in public information decreases in the manager's skill. We go on to estimate this sensitivity ( RPI ) as the R 2 of the regression of changes in a manager's portfolio holdings on changes in public information using a panel of U.S. equity funds. Consistent with RPI containing information related to managerial skills, we find a strong inverse relationship between RPI and various existing measures of performance, and between RPI and fund flows. We also document that both fund‐ and manager‐specific attributes affect RPI .