The Review of Financial Studies, Volume 31, Issue 5, 1 May 2018, Pages 1896–1929

共同基金竞争，管理技能和Alpha持续性

作者：Gerard Hoberg（Gerard Hoberg Nitin Kumar Nagpurnanand Prabhala）

Nitin Kumar（Indian School of Business）

Nagpurnanand Prabhala（Robert H. Smith School of Business, University of Maryland）

摘要：什么样的经济力量会限制共同基金经理产生持续的超额收益？我们提出并检验了买方竞争来自其他基金的假设。本文有三个贡献。首先，我们提出新的基于风格的空间方法来识别每个基金的定制竞争对手。其次，我们构建了动态的、针对特定基金的竞争度量标准，并建立了衡量基金超越其定制同行表现的指标。第三，也是最后一点，我们表明，当面临较少竞争时，超过其定制竞争对手的基金未来会产生阿尔法。这些结果具有经济显著性并且持续四个季度以上。

Mutual Fund Competition, Managerial Skill, and Alpha Persistence

Gerard Hoberg（Gerard Hoberg Nitin Kumar Nagpurnanand Prabhala）；Nitin Kumar（Indian School of Business）；Nagpurnanand Prabhala（Robert H. Smith School of Business, University of Maryland）

ABSTRACT

What economic forces limit mutual fund managers from generating consistent outperformance? We propose and test the hypothesis that buy-side competition from other funds matters. We make three contributions. First, we propose new style-based spatial methods to identify the customized rivals of each fund. Second, we construct dynamic, fund-specific measures of competition and generate measures of skill as a fund’s outperformance relative to its customized peers. Third, and finally, we show that funds outperforming their customized rivals generate future alpha when they face less competition. These results are economically significant and last for over four quarters.

原文链接：https://academic.oup.com/rfs/article-abstract/31/5/1896/4596567?redirectedFrom=fulltext

翻译：黄涛