Journal of Financial & Quantitative Analysis, Vol. 52, Issue 4, Aug2017,

机构投资者的短线交易绩效

作者：Chakrabarty, Bidisha (Cook School of Business, Saint Louis University)

Moulton, Pamela C. (SC Johnson College of Business, Cornell University)

Trzcinka, Charles (Kelley School of Business, Indiana University)

摘要：利用机构投资者交易日度数据库，我们发现绝大部分机构投资者开展的短线交易均带来投资损失。整体而言，超过23%的双向交易持有期均小于3个月，并且这些交易的平均回报率为-3.91%（非年化）。这种投资损失普遍存在于各种类型的股票中，尤其在小盘股、价值股、低动量股票中损失更大。同时，我们发现短线交易在波动性更大的市场中的损失更多。对于基金而言，短期回报率表现最差的是那些交易得最多的股票，并且没有证据表明在机构短线交易中存在稳定的投资技巧和资产配置效应。

The Performance of Short-Term Institutional Trades

Chakrabarty, Bidisha (Cook School of Business, Saint Louis University)，Moulton, Pamela C. (SC Johnson College of Business, Cornell University)，Trzcinka, Charles (Kelley School of Business, Indiana University)

ABSTRACT

Using a database of daily institutional trades, we document that a majority of short-term institutional trades lose money. In aggregate, over 23% of round-trip trades are held for less than 3 months, and the returns on these trades average -3.91% (nonannualized). These losses are pervasive across all types of stocks, with the lowest returns occurring in small stocks, value stocks, and low-momentum stocks. Short-term trades lose more in more volatile markets. Across funds, the worst short-term returns accrue to funds that do the most trading, and there is no evidence of persistent skill or disposition effect in short-term institutional trades.

原文链接: http://eds.a.ebscohost.com/eds/detail/detail?vid=2&sid=208952e5-0d79-471c-96d9-07e6c64d98d8%40sessionmgr4007&bdata=JnNpdGU9ZWRzLWxpdmU%3d#AN=124642505&db=edb

翻译：汪国颂