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1、NBERWKINGPAPERSERIESCANMUTUALFUNDMANAGERSPICKSTOCKSEVIDENCEFROMTHEIRTRADESPRITOEARNINGSANNOUNCEMENTSMalcolmBakerLubomirLitovJessicaWachterJeffreyWurglerWkingPaper10685:www.nber.gpapersw10685NATIONALBUREAUOFECONOMICRESEAR

2、CH1050MassachusettsAvenueCambridgeMA02138August2004WethankrewMetrickLassePedersenRobertStambaughfhelpfulcomments.WethankChristopherBlakeRussWermersfassistancewithdata.BakergratefullyacknowledgesfinancialsupptfromtheDivis

3、ionofResearchoftheHarvardBusinessSchool.Theviewsexpressedhereinarethoseoftheauth(s)notnecessarilythoseoftheNationalBureauofEconomicResearch.?2004byMalcolmBakerLubomirLitovJessicaWachterJeffreyWurgler.Allrightsreserved.Sh

4、tsectionsoftextnottoexceedtwoparagraphsmaybequotedwithoutexplicitpermissionprovidedthatfullcreditincluding?noticeisgiventothesource.1I.IntroductionCanmutualfundmanagerspickstocksthatearnabnmalreturnsThisquestionhaslongin

5、terestedfinancialeconomistsduetoitspracticalimptancefinveststhelightitshedsonmarketefficiency.Despitethemanyvariedapproachestakentoaddressthisquestionacommondifficultyemerges:definingriskadjustedreturns.Ptfolioperfmancem

6、ustbeadjustedfrisktheproperadjustmentisunknown.ThisjointhypothesisproblemarticulatedbyFama(1970)cloudstheinterpretationofmostfundmanagerperfmancestudieshasledtoprolongeddebateaboutwhetherfundmanagerscanpickstocks.1Inthis

7、paperweintroduceanewmethodologytomeasurestockionabilitybasedonreturnsaroundearningsannouncements.Theceideaistoassociateskillwiththetendencytoholdstocksthatareabouttoenjoyhighearningsannouncementreturnslikewisetoavoidstoc

8、ksthatareabouttosufferlowannouncementreturns.Anadvantageofthismethodologyisthatitlargelyavoidsthejointhypothesisproblem.AsBrownWarner(1985)showinferencebasedondailyreturnsaroundannouncementdatesisrelativelyinsensitivetot

9、heriskadjustmentmodel.Weapplythisinsighttoperfmanceevaluation.Justasstockreturnsaroundearningsannouncementsaremostlyabnmalregardlessoftheriskadjustmentamutualfund’sreturnsfromholdingthatstockarealsomostlyabnmal.Arelateda

10、dvantageofthisapproachisthatitmakesintensiveuseofthesegmentofreturnsdata—returnsaroundearningsannouncements—thatcontainsthemostconcentratedinfmationaboutafirm’s1Longhizonstudiesthatdiscusscenterontheriskadjustmentissuere

11、achingvaryingconclusionsincludeLehmanModest(1987)EltonGruberDasHlavka(1993)GrinblattTitman(1993)Malkiel(1995)FersonSchadt(1996)DanielGrinblattTitmanWermers(1997)Carhart(1997)Metrick(1999)PastStambaugh(2002)LynchWachterBo

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