Journal of Financial and Quantitative Analysis, Volume 54, Issue 1, February 2019

尾部风险与共同基金的横截面预期收益

作者：Nikolaos Karagiannis (University of Leuven, Belgium),

Konstantinos Tolikas (Aston University, UK)

摘要：我们检验了共同基金收益横截面中尾部风险溢价的存在，发现处于前五分之一尾部风险的基金每年的表现比底部高出4.4%。这种溢价不仅仅是对市场风险的回报，常用的风险因素也不能提供充分的解释。我们的研究结果在尾部风险和一些基金特征形成的双排序投资组合仍然成立。我们还发现，易受尾部风险影响的基金往往规模小、年轻、管理费高，而且基金经理不拿自己的资金冒险。

Tail Risk and the Cross-Section of Mutual Fund Expected Returns

Nikolaos Karagiannis (University of Leuven, Belgium), Konstantinos Tolikas (Aston University, UK)

ABSTRACT

We test for the presence of a tail risk premium in the cross-section of mutual fund returns and find that the top tail risk quintile of funds outperforms the bottom by 4.4% per annum. This premium is not simply a reward for market risk, nor do commonly used risk factors offer an adequate explanation. Our findings hold across double-sorted portfolios formed on tail risk and a number of fund characteristics. We also find that funds susceptible to tail risk tend to be small, young, have high management fees, and have managers who do not risk their own capital.

原文链接：https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/tail-risk-and-the-crosssection-of-mutual-fund-expected-returns/DB5484B4AD108AE0C70102AD0405941E

翻译：阙江静