Amihud, Yakov; Goyenko, Ruslan - In: Review of Financial Studies 26 (2013) 3, pp. 667-694
We propose that fund performance can be predicted by its R-super-2, obtained from a regression of its returns on a multifactor benchmark model. Lower R-super-2 indicates greater selectivity, and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged...