Do more active funds still earn higher performance? Evidence from Active Share over time
研究发现，在公平披露法规通过后，基金活跃度与未来业绩的正相关关系显著减弱，活跃份额对超额收益的预测能力下降超过五倍，表明此前活跃基金的高收益部分源于选择性信息披露。
Abstract We find that the relationship between activeness and future fund performance significantly weakens after the passage of regulation fair disclosure (FD). The ability of Active Share to predict four‐factor alpha is more than five times smaller after FD. More active funds embed a higher degree of private information into prices of traded stocks, and the extent to which these funds affect price informativeness diminishes in the post‐FD era. Stocks traded by more active funds exhibit a higher degree of information asymmetry, and this relationship also weakens after FD. Our findings suggest that one of the channels through which more active funds generated a higher alpha before FD was through the selective disclosure of information.