Journal of Portfolio Management, Summer 2017, Vol. 43, No. 4: pp. 87-99

共同基金的从众行为对股票收益率的影响

作者：Ligang Zhong(Odette School of Business ,The University of Windsor), Xiaoya Ding & Nicholas S.P. Tay (School of Management ,The University of San Francisco)

摘要：??近期的金融风暴表明，从众行为会对那些被争相投资的产品的收益率产生不利影响，并破坏金融市场的稳定。但是，“从众”一词已经被公共媒体广泛使用。确切地说，作者定义并构造了一个度量从众行为的指标，这一指标能够捕捉到相关交易和非流动性之间的相互作用，然后作者使用这一指标来研究共同基金的从众行为如何影响1981 - 2012年期间股票的后续收益率。他们发现从众指标与前两个季度的季度回报之间存在强烈的负相关关系。更深入的分析显示，持有从众程度最低的股票组合并卖空从众程度最高的股票组合这样一种交易策略，能够获得经规模、账面市值比和动量因子调整后的高达14.53%的异常年收益率。作者进一步研究表明如此巨大的异常收益不是由随时间变化的预期收益驱动的。令人惊讶的是，异常收益主要来源于从众程度最低的股票，其特征类似于共同基金所忽视的股票。他们认为他们所构造的从众程度的度量指标是是对流动性指标的改进，并传达了换手率所包含的信息以外的重要信息。

The Impact on Stock Returns of Crowding by Mutual Funds

Ligang Zhong(Odette School of Business ,The University of Windsor), Xiaoya Ding & Nicholas S.P. Tay (School of Management ,The University of San Francisco)

ABSTRACT

Evidence from recent financial debacles suggests that crowding can adversely impact the subsequent performance of crowded investments and destabilize financial markets. However, the term “crowding” has been used loosely in the public media. To be precise, the authors define and develop a measure of crowding that captures the interaction of correlated trades and illiquidity and use this metric to study how crowding on stocks by mutual funds affects the subsequent returns on the stocks for the period from 1981 to 2012. They find a strong negative association between the crowding measure and the quarterly returns two quarters ahead. More in-depth analysis reveals that a long–short portfolio with a long position in the least crowded stocks and a short position in the most crowded stocks can earn an annualized abnormal return as high as 14.53% after adjusting for size, book to market, and momentum characteristics. The authors further confirm that the substantial abnormal returns are not driven by time-varying expected returns. Surprisingly, the abnormal returns can mostly be attributed to the least crowded stocks, which have characteristics resembling stocks neglected by mutual funds. They demonstrate that their crowding measure is an improvement over the liquidity measure and conveys important signals beyond what is embedded in turnover.

原文链接：http://www.iijournals.com/doi/abs/10.3905/jpm.2017.43.4.087

翻译：唐国梅