When Does a Mutual Fund's Trade Reveal its Skill?
---- Acknowledgements -----
We thank Robert Battalio, Roger Edelen, Craig Holden, Paul Irvine, Tim Loughran, Rick Mendenhall, David Musto, Lubos Pástor, Paul Schultz, Clemens Sialm, Laura Starks, Sheridan Titman, Charles Trzcinka, Lance Young and seminar participants at Barclays Global Investors, FRA 2007 Annual Meeting, IU/ND/Purdue Finance Symposium, Northwestern University, University of Illinois at Urbana-Champaign, University of Michigan, Tilburg University, and the 4th Vienna Symposium on Asset Management for comments. An earlier version of this paper was titled .Informed Trading, Liquidity Provision and Stock Selection by Mutual Funds. Patricia Andersen provides excellent editorial support. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.