Financial Management, Volume 44, Issue 4, pages 947–979, Winter 2015.

共同基金經理人異質性的可預測性分析

作者：Jun Huang and Albert Y. Wang

摘要：利用中國共同基金的樣本數據，我們實證分析了經理人異質性如何影響共同基金業績。我們的研究發現：相比于那些具有更低的經理人内生影響的基金，那些具有更高的經理人内生影響的基金每年能取得2%的超額收益。我們還發現：當具有更高内生影響的經理人被聘用之後，基金業績得到顯著改善。這些結果進一步支持了經理人内生影響與其天賦有關聯的觀點。最後，我們還發現投資人對經理人特性的關注已經超出了傳統的業績度量方法，這為已有文獻中提出的基金規模與基金業績之間存在凸的敏感度現象提供了合理的解釋。

關鍵詞：共同基金、經理人異質性、内生影響

The Predictability of Managerial Heterogeneities in Mutual Funds

Jun Huang and Albert Y. Wang

Abstract

Using a sample of Chinese mutual funds, we empirically assess how managerial heterogeneity affects mutual fund performance. We find that funds with higher manager fixed effects outperform those with lower manager fixed effects by 2% per year. We also note that fund performance improves after managers with higher fixed effects are hired. The results are consistent with the notion that manager fixed effects are associated with managerial innate ability. Finally, we find that investors pay attention to managerial attributes beyond the traditional performance measures, providing supporting evidence for the rational explanation of convex flow-performance sensitivity in the literature.

Keywords: Mutual Funds, Managerial Heterogeneities, Fixed Effects

原文鍊接：http://onlinelibrary.wiley.com/doi/10.1111/fima.12075/pdf

翻譯：成祺炯