This paper proposes that the extent to which mutual fund managers' beliefs deviate from the ex ante unobservable representative beliefs of their peers contains information about their skill. A new measure based on portfolio allocations, peer deviation, is used to capture a fund manager's divergence from the contemporaneously unobservable beliefs of her peers. The portfolio based on representative beliefs of a group of managers investing in similar assets outperforms passive benchmarks, indicating that they reflect informed beliefs. Fund managers who simultaneously arrive at portfolio selections which, in hindsight, are close to those implied by representative beliefs possess ex ante more skill and exhibit future outperformance. Copycat strategies replicating lagged portfolio holdings implied by representative beliefs outperform the actual portfolio holdings of funds that deviate most, but the outperformance dissipates after two quarters. (C) 2012 Elsevier B.V. All rights reserved.
机构:
Nanjing Univ, Sch Management & Engn, Nanjing, Jiangsu, Peoples R ChinaNanjing Univ, Sch Management & Engn, Nanjing, Jiangsu, Peoples R China
Liu, Haifei
Liu, Kai
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Univ Prince Edward Isl, Sch Math & Computat Sci, Charlottetown, PE, Canada
Univ Waterloo, Big Data Res Lab, Waterloo, ON, CanadaNanjing Univ, Sch Management & Engn, Nanjing, Jiangsu, Peoples R China
Liu, Kai
Li, Dongxin
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Nanjing Univ, Sch Management & Engn, Nanjing, Jiangsu, Peoples R ChinaNanjing Univ, Sch Management & Engn, Nanjing, Jiangsu, Peoples R China
Li, Dongxin
Li, Yixuan
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Univ Waterloo, Big Data Res Lab, Waterloo, ON, Canada
Univ Waterloo, Dept Econ, Waterloo, ON, CanadaNanjing Univ, Sch Management & Engn, Nanjing, Jiangsu, Peoples R China
机构:
Univ Leeds, Business Sch, Maurice Keyworth Bldg, Leeds LS2 9JT, W Yorkshire, EnglandUniv Leeds, Business Sch, Maurice Keyworth Bldg, Leeds LS2 9JT, W Yorkshire, England
Chen, Jie
Lasfer, Meziane
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Univ London, Bayes Business Sch, 106 Bunhill Row, London EC1Y 8TZ, EnglandUniv Leeds, Business Sch, Maurice Keyworth Bldg, Leeds LS2 9JT, W Yorkshire, England
Lasfer, Meziane
Song, Wei
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Univ Southampton, Southampton Business Sch, Southampton SO17 1BJ, Hants, EnglandUniv Leeds, Business Sch, Maurice Keyworth Bldg, Leeds LS2 9JT, W Yorkshire, England
Song, Wei
Zhou, Si
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Xian Jiaotong Liverpool Univ, Int Business Sch Suzhou, Suzhou 215123, Peoples R ChinaUniv Leeds, Business Sch, Maurice Keyworth Bldg, Leeds LS2 9JT, W Yorkshire, England