Variation in the value of active share across regions of investments: Evidence from global equity funds
基于3250只全球基金样本，发现主动份额能预测回报，但在欧洲和亚太有效，在美国无效；高主动份额经理的优异表现源于对权益异象的押注。
Using a worldwide sample of 3250 global equity funds, we provide out-of-sample evidence of active share as a strong return predictor. However, a global fund’s within-region active share predicts superior performance in Europe and Asia-Pacific, but not in the United States. We reconcile this difference by showing that highly active global managers (whether based in the U.S. or elsewhere) have outperformed both in U.S. and international markets primarily when they are also betting on equity anomalies. The weak return predictability of active share alone in the U.S. stems from domestic anomalies and is not generalizable to global markets.