Fund Manager Use of Public Information: New Evidence on Managerial Skills

By Marcin T. Kacperczyk, Amit Seru. 2007

397 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/09ce6747f7e9397cad3491f293ca8e5bf7ddd7e9

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Citations in the corpus

Does Media Coverage of Stocks Affect Mutual Funds' Trading and Performance? (2014, positive): “Our result is related to those of Kacperczyk and Seru (2007), who quantify the extent to which funds’trades are influenced by changes in consensus analyst recommendations, which they call reliance on public information (RPI). They find that RPI has a negative relation with fund performance. Broadly ”
Indexing and Active Fund Management: International Evidence (2016, neutral): “…Titman (1989, 1993), Gruber (1996), Wermers (2000), Bollen and Busse (2001), Kacperczyk, Sialm, and Zheng (2005), Avramov and Wermers (2006), Kosowski, Timmermann, Wermers, and White (2006), Kacperczyk and Seru (2007), French (2008), Cremers and Petajisto (2009), and Busse, Goyal, and Wahal (2014).”
A Rational Theory of Mutual Funds' Attention Allocation (2016, neutral): “, Kacperczyk, Sialm, and Zheng (2005, 2008), Kacperczyk and Seru (2007), Cremers and Petajisto (2009), Huang, Sialm, and Zhang (2011), Koijen (2014), Baker, Litov, Wachter, and Wurgler (2010).”
Winners in the Spotlight: Media Coverage of Fund Holdings as a Driver of Flows (2014, background): “First, portfolio holdings comprise perhaps the richest information set available to investors in the public domain, which can be used to infer a fund manager's skill (Kacperczyk and Seru, 2007; Kacperczyk, Sialm, and Zheng, 2005, 2008; Kacperczyk, Van Nieuwerburgh, and Veldkamp, 2013) and uncover im”
How are Shorts Informed? Short Sellers, News, and Information Processing (2012, positive): “Consistent with this view, Kacperczyk and Seru (2007) estimate managers’ reliance on public information (RPI) as the R-squared of a regression of percentage changes in fund managers’ portfolio holdings on changes in analysts’ past recommendations and find that fund managers with low RPIs (low…”
Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices (2014, positive): “To the extent that career concerns are correlated with fund performance, our findings of return reversals associated with herding on analyst recommendations by career-concerned managers is consistent with Kacperczyk and Seru (2007), who find that funds relying on public information underperform in t”
How are shorts informed (2012, background): “Consistent with this view, Kacperczyk and Seru (2007) estimate managers’ reliance on public information (RPI) as the R-squared of a regression of percentage changes in fund managers’ portfolio holdings on changes in analysts’ past recommendations and find that fund managers with low RPIs (low…”
Are Institutions Informed About News (2015, result): “Their result is consistent with the hypothesis (see Kacperczyk and Seru, 2007) that funds with informational advantage trade less in stocks with media coverage.”
The flow-performance relationship around the world (2012, neutral): “Like Kacperczyk and Seru (2007) and others, we begin by eliminating multiple share classes to avoid double-counting funds and use the share class that Lipper identifies as the primary one.6 Although multiple share classes are listed as separate funds in Lipper, they have the same holdings, the same…”
Time-Varying Fund Manager Skill: Time-Varying Fund Manager Skill (2012, neutral): “Daniel, Grinblatt, Titman, and Wermers (1997), Wermers (2000) and Kacperczyk and Seru (2007)).”
Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Costs (2012, neutral): “Keim and Madhavan(1995) find that institutional investors in their sample trade primarily using market orders and “show a surprisingly strong demand for immediacy, even in those institutions whose trades are based on relatively longlived information.”
Are Mutual Funds Active Voters (2015, positive): “In addition, it is also related to Kacperczyk and Seru (2007), who solve the Bayesian model with public and private signals for managers making portfolio decisions.”
Side-by-Side Management of Hedge Funds and Mutual Funds (2010, positive): “…(see Jensen, 1968; Malkiel 1995; and Gruber 1996), several recent papers, for example, Kacperczyk, Sialm and Zheng (2005), Mamaysky, Spiegel and Zhang (2006), Kacperczyk and Seru (2007), and Cremers and Petajisto (2009), document methods that are able to identify funds with superior performance.”