We find that the stocks that active managers display the most conviction towards ex-ante, their “Best Ideas,” outperform the market, as well as the other stocks in those managers' portfolios, by approximately 2.5 to 4.5 percent per year, depending on the benchmark employed. The other stocks managers hold do not exhibit significant outperformance. Thus, the organization of the money management industry appears to make it optimal for managers to introduce stocks into their portfolio that are not outperformers. We argue that investors would benefit if managers held more concentrated portfolios.
【報告人】Christopher Polk, Professor and Head in the Department of Finance, London School of Economics and Political Science (LSE)
【時 間】04月19日 (周五) 上午10:00
Christopher Polk is a Professor and Head in the Department of Finance, London School of Economics and Political Science (LSE), Distinguished Professor in Hanqing Institute, Renmin University of China, Research Fellow of Center for Economic and Policy Research, Associate Editor of Journal of Finance, member of Norges Bank Investment Management Allocation Advisory Board. He holds a Ph.D. in Finance from the University of Chicago Graduate School of Business. His research interests are in Asset Pricing, Corporate Finance and Hedge Funds Macroeconomics. His work has been published in many journals, including Journal of Financial Economics, Journal of Finance, Review of Financial Studies and Quarterly Journal of Economics.