Journal of Financial Economics, Volume 123,Issue 1,January 2017,Pages 189-208

投資組合集中性與全球機構投資者的表現

作者：Nicole Choi (University of Wyoming),Mark Fedenia(University of Wisconsin),Hilla Skiba(Colorado State University),Tatyana Sokolyk(Brock University)

摘要：本文通過使用來自72個國家10771個機構投資者的持股數據，來檢測集中性的投資策略能否産生風險調整後的超額回報。我們研究了幾個關于國家和行業的測度投資組合集中性的指标，發現對于全球機構投資者而言，投資組合集中性與風險調整回報直接相關。結果表明，與傳統資産定價理論相比，在信息優勢理論的支持下，集中性投資策略在國際市場上是最優的策略選擇。

關鍵詞：國際投資，機構投資者，信息優勢，本國偏好，多元化，産業集中

Portfolio concentration and performance of institutional investors worldwide

Nicole Choi (University of Wyoming),Mark Fedenia(University of Wisconsin),Hilla Skiba(Colorado State University),Tatyana Sokolyk(Brock University)

ABSTRACT

Using data on security holdings for 10,771 institutional investors from 72 countries, we test whether concentrated investment strategies result in excess risk-adjusted returns. We examine several measures of portfolio concentration with respect to countries and industries and find that portfolio concentration is directly related to risk-adjusted returns for institutional investors worldwide. Results suggest, in contrast to traditional asset pricing theory and in support of information advantage theory, that concentrated investment strategies in international markets can be optimal.

Keywords: International investments, Institutional investors, Information advantage, Home bias, Diversification, Industry concentration

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0304405X16301581

翻譯：秦秀婷