REVIEW OF FINANCIAL STUDIES·(2016)29(10):2600-2642.doi:10.1093

哪些因素對投資者而言是重要的？來自共同基金流量的證據

作者：Brad M. Barber (Graduate School of Management- University of California, Davis), Xing Huang (Broad College of Business- Michigan State University), Terrance Odean (Haas School of Business-University of California)

摘要：當評估一個基金經理的能力時，成熟的投資者會考慮能夠解釋基金業績橫截面變化的所有因素（已定價的和未定價的）。我們通過分析作為近期收益的函數的共同基金流量來調查投資者重點關注的因素，其中近期收益又被分解為alpha收益和因子相關收益。令人驚訝的是，投資者在評估基金時最關注市場風險（beta），并将可歸因于公司規模、價值、動量和行業因素的收益視為alpha。另外，通過使用表示投資者成熟度的代理變量（财富、資産配置渠道和高投資者情緒時期），我們發現在評估基金業績時，成熟的投資者傾向于使用更複雜的比較基準。

Which Factors Matter to Investors? Evidence from Mutual Fund Flows

Brad M. Barber (Graduate School of Management- University of California, Davis), Xing Huang (Broad College of Business- Michigan State University), Terrance Odean (Haas School of Business-University of California)

ABSTRACT

When assessing a fund manager’s skill, sophisticated investors will consider all factors (priced and unpriced) that explain cross-sectional variation in fund performance. We investigate which factors investors attend to by analyzing mutual fund flows as a function of recent returns decomposed into alpha and factor-related returns. Surprisingly, investors attend most to market risk (beta) when evaluating funds and treat returns attributable to size, value, momentum, and industry factors as alpha. Using proxies for investor sophistication (wealth, distribution channels, and periods of high investor sentiment), we find that more sophisticated investors use more sophisticated benchmarks when evaluating fund performance.

原文鍊接：

http://rfs.oxfordjournals.org/content/29/10/2600.abstract?sid=4e1d7e69-69ee-4914-afd5-e31ee084d512

翻譯：何杉