The Journal of Financial Economics Volume 118, Issue2, November 2015, Pages 289–298

波動性與共同基金經理的能力

作者：Bradford D. Jordan (University of Kentucky-Gatton College of Business and Economics), Timothy B. Riley (US Securities and Exchange Commission-Division of Economic and Risk Analysis)

摘要：在标準的四因子模型框架下，共同基金收益率的波動是未來異常收益的一個可靠、穩定且十分有力的預測指标。然而，同由低波動性和高波動性的股票所構成的投資組合收益對比後發現，異常收益被一個附加的異常波動因子（“vol” anomaly factor）所抵消了。這個發現同Novy-Marx (2014)，Fama and French (2014)和Fama and French (2015)的研究相一緻，這些研究發現盈利因子和投資因子在解釋異常收益時是同樣的有效。無論直接或者間接都無法成功解釋波動異常，這導緻了對基金經理能力的錯誤估計。

關鍵詞：共同基金，能力，波動性，市場效率，異常

Volatility and mutual fund manager skill

Bradford D. Jordan (University of Kentucky-Gatton College of Business and Economics), Timothy B. Riley (US Securities and Exchange Commission-Division of Economic and Risk Analysis)

ABSTRACT

In a standard four-factor framework, mutual fund return volatility is a reliable, persistent, and powerful predictor of future abnormal returns. However, the abnormal returns are eliminated by the addition of a “vol” anomaly factor contrasting returns on portfolios of low and high volatility stocks. Consistent with Novy-Marx (2014) and Fama and French (2014), the Fama and French (2015) profitability and investment factors are equally effective at eliminating the abnormal returns. Failure to account for the vol anomaly, either directly or indirectly, can lead to substantial mismeasurement of fund manager skill.

Keywords: Mutual funds , Skill , Volatility , Market efficiency , Anomaly

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0304405X1500118X

翻譯：秦秀婷