Journal of Financial Economics, Volume 122, Issue3, December 2016, Pages 607-624

有限注意力、婚姻狀況與對沖基金

作者：Yan Lu (University of Central Florida, College of Business), Sugata Ray (University of Florida, Warrington College of Business), Melvyn Teo (Singapore Management University, Lee Kong Chian School of Business)

摘要：本文通過分析那些被婚姻事件而分散注意力的對沖基金經理的表現，來探究有限注意力的影響。我們發現在結婚和離婚的六個月期間以及兩年後，婚姻事件與基金較低的Alpha顯著相關。那些管理多個基金的基金經理以及非團隊成員的基金經理更容易受到婚姻的影響。相較于風格相同的同行而言，注意力有限的基金經理更缺乏主動投資，他們更多地去投資股指，相較于系統性因素擁有更高的R2，并且這些基金經理容易受到性格的影響。

關鍵詞：對沖基金，有限注意力，結婚，離婚，性格影響

Limited attention, marital events and hedge funds

Yan Lu (University of Central Florida, College of Business), Sugata Ray (University of Florida, Warrington College of Business), Melvyn Teo (Singapore Management University, Lee Kong Chian School of Business)

ABSTRACT

We explore the impact of limited attention by analyzing the performance of hedge fund managers who are distracted by marital events. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding and the two-year period after the event. Busy managers who manage multiple funds and who are not part of a team are more affected by marital transitions. Inattentive managers place fewer active bets relative to their style peers, load more on index stocks, exhibit higher R-squareds with respect to systematic factors, and are more prone to the disposition effect.

Keywords: Hedge funds, Limited attention, Marriage, Divorce, Disposition effect

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0304405X16301556

翻譯：秦秀婷