KACPERCZYK, MARCIN; SERU, AMIT - In: Journal of Finance 62 (2007) 2, pp. 485-528
We show theoretically that the responsiveness of a fund manager's portfolio allocations to changes in public information decreases in the manager's skill. We go on to estimate this sensitivity ("RPI") as the "R"-super-2 of the regression of changes in a manager's portfolio holdings on changes in...