TY  - JOUR
AU  - Iskoz,Sergey
AU  - Wang,Jiang
TI  - How to Tell if a Money Manager Knows More?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9791
PY  - 2003
Y2  - June 2003
UR  - http://www.nber.org/papers/w9791
L1  - http://www.nber.org/papers/w9791.pdf
N1  - Author contact info:
Sergey Iskoz
Bracebridge Capital, LLC
One Bow Street
Cambridge, MA 02138
E-Mail: sergey@brcap.com

Jiang Wang
MIT Sloan School of Management
100 Main Street, E62-614
Cambridge, MA 02142
Tel: 617/253-2632
Fax: 617/258-6855
E-Mail: wangj@mit.edu
AB  - In this paper, we develop a methodology to identify money managers who have private information about future asset returns. The methodology does not rely on a specific risk model, such as the Sharpe ratio, CAPM, or APT. Instead, it relies on the observation that returns generated by managers with private information cannot be replicated by those without it. Using managers' trading records, we develop distribution-free tests that can identify such managers. We show that our approach is general with regard to the nature of private information the managers may have, and with regard to the trading strategies they may follow.
ER  -