MANAGEMENT SCIENCE ·VOL. 61, NO. 12· DECEMBER 2015

對沖基金與股票市場有效性

作者: Joni Kokkonen (Lisbon School of Business and Economics, Universidade Católica Portuguesa), Matti Suominen (School of Business, Luxembourg School of Finance, Aalto University)

摘要：我們使用貼現剩餘收益模型衡量錯誤估價。如文獻所示，股票錯誤估價的方式顯著解釋了他們未來的橫截面收益。研究通過以最高估值和最低估值股票的錯誤估價差異表示錯誤估價的價差，衡量市場水平上的錯誤估價（市場無效性）。本文表明，錯估價差是基于錯誤估價的長期投資組合回報的有力預測指标，進一步證明了其作為股票市場中錯誤定價水平代理變量的假設。使用對沖基金回報，對沖基金行業資産管理，流量和個人對沖基金持有量的數據，本文提出證據表明對沖基金的交易減少了市場水平上的錯誤估價。研究的結果在不同時期是穩健的，并不是由市場流動性驅動。此外，本文發現共同基金并不具備對沖基金的價格糾正效應。

關鍵詞：對沖基金；錯誤估價；股票市場有效性

Hedge Fund and Stock Market Efficiency

Joni Kokkonen (Lisbon School of Business and Economics, Universidade Católica Portuguesa), Matti Suominen (School of Business, Luxembourg School of Finance, Aalto University)

ABSTRACT

We measure misvaluation using the discounted residual income model. As shown in the literature, this measure of stocks' misvaluation significantly explains their future cross-sectional returns. We measure the market-level misvaluation (market inefficiency) by the misvaluation spread: the difference in the misvaluation of the most overvalued and undervalued shares. We show that the misvaluation spread is a strong predictor of a misvaluation-based long–short portfolio’s returns, reinforcing the hypothesis that it proxies for the level of mispricing in the stock market. Using data on hedge fund returns, hedge fund industry assets under management, flows, and individual hedge fund holdings, we present evidence that hedge funds' trading reduces market-level misvaluation. Our results are robust across different time periods and are not driven by market liquidity. Moreover, we find that mutual funds do not have the price-correcting effect that hedge funds have.

Keywords: hedge funds; misvaluation; stock market efficiency

原文鍊接：https://www.researchgate.net/publication/251331633_Hedge_Funds_and_Stock_Market_Efficiency

翻譯：景薇