Journal of Financial and Quantitative Analysis / Volume 51 / Issue 03 / June 2016

何為對沖基金經理能力的本質？來自風險套利策略的證據

作者：Charles Cao（Pennsylvania State University, Smeal College of Business, University Park）

Bradley A. Goldie（Miami University - Farmer School of Business）

Bing Liang （University of Massachusetts Amherst - Isenberg School of Management）

Lubomir Petrasek（Board of Governors of the Federal Reserve System）

摘要：為了理解對沖基金經理能力的本質，我們通過利用對沖基金持有的組合并跟其他機構套利者的對比，研究了對沖基金風險套利的表現。最後發現，對沖基金能夠顯著戰勝基準風險套利組合，得到額外3.7%的經過風險調整後的年收益率。而非對沖的基金未能戰勝基準。經分析，對沖基金的優異成績并非來源于基金經理的預測能力或者影響兼并收購事件結果的能力，而應歸因于他們管理下行風險的能力。

What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk-Arbitrage Charles

Charles Cao (Pennsylvania State University, Smeal College of Business, University Park), Bradley A. Goldie (Miami University - Farmer School of Business), Bing Liang (University of Massachusetts Amherst - Isenberg School of Management), Lubomir Petrasek (Board of Governors of the Federal Reserve System)

ABSTRACT

To understand the nature of hedge fund managers’ skills, we study the implementation of risk arbitrage by hedge funds using their portfolio holdings and comparing them with those of other institutional arbitrageurs. We find that hedge funds significantly outperform a naive risk-arbitrage portfolio by 3.7% annually on a risk-adjusted basis, whereas non–hedge fund arbitrageurs fail to outperform the benchmark. Our analysis reveals that hedge funds’ superior performance does not reflect fund managers’ ability to predict or affect the outcome of merger and acquisition deals; rather, hedge fund managers’ superior performance is attributed to their ability to manage downside risk.

原文鍊接：http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=10433448&fulltextType=RA&fileId=S0022109016000387

翻譯：傅亞平