Mutual Fund's R2 as Predictor of Performance

被引：220
|
作者：
Amihud, Yakov [1 ]
Goyenko, Ruslan [2 ]
机构：
[1] NYU, Stern Sch Business, New York, NY 10003 USA
[2] McGill Univ, Desautels Fac Management, Montreal, PQ H3A 2T5, Canada
来源：
REVIEW OF FINANCIAL STUDIES | 2013年 / 26卷 / 03期
关键词：
HETEROSKEDASTICITY; PERSISTENCE; VARIABLES; RETURNS; HEDGE;
D O I：
10.1093/rfs/hhs182
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We propose that fund performance can be predicted by its R-2, obtained from a regression of its returns on a multifactor benchmark model. Lower R-2 indicates greater selectivity, and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R-2 and highest-quintile lagged alpha produce significant annual alpha of 3.8%. Across funds, R-2 is positively associated with fund size and negatively associated with its expenses and manager's tenure.
引用
收藏
页码：667 / 694
页数：28
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