JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS Vol. 51, No. 3, June 2016, pp. 771–800

基于風格層面的共同基金經理的反饋交易研究

作者：Bart Frijns, Aaron Gilbert (Auckland University of Technology - Business School), Remco C. J. Zwinkels (VU University Amsterdam- Faculty of Economics and Business Administration)

摘要：本文考察了美國共同基金經理基于風格層面的反饋交易行為。我們利用了Barberis 和Shleifer的風格調整模型進行實證研究，分析了77%的共同基金基于風格層面的反饋交易，發現其中一半是正（負）反饋交易。同時我們提供了“雙重風格”調整的證據，資本可以在價值型和成長型之間、大盤型和小盤型之間調整。成長（價值）型基金運用了更多正（負）反饋交易，更主動調整的基金通常更為年輕且擁有更高的費用比率。最後，我們發現正（負）反饋交易會帶來正（負）的阿爾法。

On the Style-Based Feedback Trading of Mutual Fund Managers

Bart Frijns, Aaron Gilbert (Auckland University of Technology - Business School), Remco C. J. Zwinkels (VU University Amsterdam- Faculty of Economics and Business Administration)

ABSTRACT

This paper examines the style-based feedback trading behavior of U.S. mutual fund managers. We provide an empirical version of Barberis and Shleifer’s style-switching model. We find style-based feedback trading for 77% of the funds, half of which is positive (negative) feedback trading. There is evidence for “twin style” switching, where capital is channeled between value and growth, and between large- and small-cap. Growth (value) funds apply more positive (negative) feedback trading. Funds that switch more aggressively are younger and have higher expense ratios. Finally, we find that positive (negative) feedback trading yields positive (negative) alpha.

原文鍊接：https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/on-the-style-based-feedback-trading-of-mutual-fund-managers/CD58BA084C10C5912EC76C0676AB2001

翻譯：陳然