We examine whether fund managers use corporate managerial ability (MA) as a point of reference in their portfolio investment decisions and find that skilled fund managers with significant loading on high-MA stocks outperform low-skill managers with low-loading on high-MA stocks by about 6% annually based on FFC 4-factor alpha over the 1990–2017 period. Consistent with our managerial ability premium (MAP) hypothesis we find negative MAP betas for high-selectivity funds (i.e., safer-funds with high exposure on High-MA stocks) and positive MAP betas for low-selectivity funds (i.e., funds with high exposure on Low-MA stocks). The implication of our findings is that the MAP has emerged as a new factor that has been overlooked in prior asset pricing studies.

我们研究了基金经理在其投资组合投资决策中是否使用公司管理能力（MA）作为参考，并发现在高MA股票上有大量负担的熟练基金经理要比在高MA股票上有较低负担的低技能经理胜过低技能的经理。在1990-2017年期间，以FFC 4因子alpha为基准，每年约增加6％。与我们的管理能力溢价（MAP）假设一致，我们发现高选择性基金的MAP Betas为负（即，在高MA证券上具有较高敞口的更安全的基金），而低选择性基金的正MAP beta（即具有高选择性的基金）低马股票的风险敞口）。我们的发现意味着，MAP已经成为一个新的因素，在先前的资产定价研究中已被忽略。