| dc.description.abstract | In this study, we examine the ability of Norwegian actively managed mutual fund managers in identifying and exploiting market mispricing. We find that fund managers exhibit skill in identifying and capturing mispricing in the market, using last periods trading activity as a predictor of subsequent periods returns. A one standard deviation increase in turnover, results in an increase in annual expected excess return from 1.37% to 2.08%. Funds investing in multiple markets display greater levels of skill than those investing in a single market, with funds investing in a single market having a shorter profit realization from trading, compared to funds investing in multiple markets. We find that smaller funds, as well as those investing primarily in mid-cap stocks, display superior skill relative to the rest. In addition, we identify that fund managers, conditional on where they invest, are driven by different factors, with multi-area funds trading on increases in liquidity, whereas single-area funds increase trading in response to a reduction in market distress risk. | en_US |
