Journal of Banking & Finance ·Vol.78·MAY 2017

风格转变：来自小盘共同基金的证据

作者：Charles Cao (Smeal College of Business, Pennsylvania State University), Peter Iliev (Smeal College of Business, Pennsylvania State University), Raisa Velthuis (Villanova School of Business, Villanova University)

摘要：本文表明，小盘共同基金将其平均27%的投资组合分配给中盘和大盘股。我们发现，规模较大和存续时间较久的小盘基金更有可能持有中盘和大盘股，这与持续背离其目标的基金一致。较多地投资于中盘股和大盘股的基金会使投资者面临意料之外的风险，但投资者并不总能得到更高的异常回报或业绩的持续。在2003年1月至2010年3月的大部分期间，这些基金的表现确实要优于同业——大致每年高3%。

关键词：共同基金，小盘，投资目标，风格转变

Style drift: Evidence from small-cap mutual funds

Charles Cao (Smeal College of Business, Pennsylvania State University), Peter Iliev (Smeal College of Business, Pennsylvania State University), Raisa Velthuis (Villanova School of Business, Villanova University)

ABSTRACT

This paper documents that small-cap mutual funds allocate on average 27% of their portfolio to mid- and large-cap stocks. We find that larger and older small-cap funds are more likely to hold mid- and large-cap stocks, consistent with funds straying from their objective over time. Funds that invest heavily in mid- and large-cap stocks expose their investors to unanticipated risks but investors do not experience higher abnormal returns or performance persistence overall. These funds did outperform their peers by 3% annually in the most recent period between January 2003 and March 2010.

Keywords: Mutual funds, Small-cap, Investment objectives, Style drift

原文链接：

http://www.sciencedirect.com/science/article/pii/S0378426617300043

翻译：贾梦悦