The Review of Financial Studies, Volume 31, Issue 3, 10 March 2018

对冲基金是否在利用对罕见灾难的担忧？

作者：George P Gao（T. Rowe Price and The Johnson School at Cornell University）

Pengjie Gao （Mendoza College of Business, University of Notre Dame）

Zhaogang Song（Carey Business School, Johns Hopkins University）

摘要：通过研究各种价外经济指数期权，我们发现收益率与灾难关注指数具有较高协方差的对冲基金，在横截面上获得较高的回报。我们提供的证据表明，这些基金的经理们更善于利用市场上对事前罕见灾害的担忧（SEDs），而这些担忧可能与灾害风险无关。特别是，平均而言，高SED基金比低SED基金的业绩每月要好0.96%，但是承受灾害风险的程度要低一些。当利用剔除灾难风险溢价得到的灾难关注指数来估计SEDs时，它们依然有良好的业绩，并且具有杠杆管理和很强的市场择时能力。

Do Hedge Funds Exploit Rare Disaster Concerns?

George P Gao（T. Rowe Price and The Johnson School at Cornell University）；Pengjie Gao （Mendoza College of Business, University of Notre Dame）；Zhaogang Song（Carey Business School, Johns Hopkins University）

ABSTRACT

We find hedge funds that have higher return covariation with a disaster concern index, which we develop through out-of-the-money puts on various economic sector indices, earn significantly higher returns in the cross-section.We provide evidence that these funds' managers are more skilled at exploiting the market's ex ante rare disaster concerns (SEDs), which may not be associated with disaster risk. In particular, high-SED funds, on average, outperform low-SED funds by 0.96% per month, but have less exposure to disaster risk. They continue to deliver superior future performance when SEDs are estimated using the disaster concern index purged of disaster risk premiums and have leverage-managing and extreme market-timing abilities.

原文链接：https://academic.oup.com/rfs/advance-article-abstract/doi/10.1093/rfs/hhy027/4925814?redirectedFrom=fulltext

翻译：黄涛