Excess Return Profiles for Stocks Purchased by Active Equity Managers
研究主动股票基金买入股票的超额收益随时间变化的曲线，揭示投资信号的价值实现周期，帮助理解不同风格基金（如小盘、价值、成长、高换手）的收益特征。
We demonstrate how forming time profiles of the excess returns on stocks purchased by active equity funds reveals the horizon and magnitude of valueadd from investment signals.This provides insights into the nature of those signals and how they might be best implemented.We illustrate the approach for both individual funds and categories of funds, showing that purchases by small-cap funds and value funds deliver outperformance versus their style benchmarks that accrues over long horizons, while purchases by growth funds and high-turnover funds outperform their style benchmarks over shorter horizons.Our analysis also highlights the importance of benchmark choice.