@article {Dong113, author = {Feng Dong and John A. Doukas}, title = {Fund Management Skill and Noise Trading}, volume = {44}, number = {5}, pages = {113--124}, year = {2018}, doi = {10.3905/jpm.2018.44.5.113}, publisher = {Institutional Investor Journals Umbrella}, abstract = {In this article, the authors show that institutional investors{\textquoteright} skill matters most during high sentiment periods when market signals are noisy. The results reveal that the fund managers with the highest (lowest) skill add (lose) $7.71 ($5.64) million of value during high sentiment periods, compared with a $3.74 million gain realized by the average manager during the entire sample period. When the market sentiment is low, highly skilled fund managers incur a value loss of only $0.18 million, much smaller than the $30.32 million loss realized by their less-skilled counterparts.TOPICS: Portfolio construction, risk management, downside-only measures}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/44/5/113}, eprint = {https://jpm.pm-research.com/content/44/5/113.full.pdf}, journal = {The Journal of Portfolio Management} }