REVIEW OF FINANCIAL STUDIES·DOI: https://doi.org/10.1093/rfs/hhx022·Published: 04 April 2017

关于高β股票的需求：来自共同基金的证据

作者：Susan E. K. Christoffersen (University of Toronto and Copenhagen Business School), Mikhail Simutin (University of Toronto)

摘要：先前的研究证明，养老金计划的发起人经常监督其基金相对于基准水平的表现。我们使用第一差异的方法表明，为了跑赢基准水平，控制大型养老金资产的基金经理往往会增加他们对高β股的风险敞口，同时旨在维持基准周期的跟踪误差。这些调查结果支持了一个理论推测，即基准测试可以导致经理们将投资组合倾向于高β股票，而不是低β股票，这使得可观测的定价异象进一步加强。

On the Demand for High-Beta Stocks: Evidence from Mutual Funds

Susan E. K. Christoffersen (University of Toronto and Copenhagen Business School), Mikhail Simutin (University of Toronto)

ABSTRACT

Prior studies have documented that pension plan sponsors often monitor a fund’s performance relative to a benchmark. We use a first-difference approach to show that in an effort to beat benchmarks, fund managers controlling large pension assets tend to increase their exposure to high-beta stocks, while aiming to maintain tracking errors around the benchmark. The findings support theoretical conjectures that benchmarking can lead managers to tilt their portfolio toward high-beta stocks and away from low-beta stocks, which can reinforce observed pricing anomalies.

原文链接：

https://academic.oup.com/rfs/article-abstract/doi/10.1093/rfs/hhx022/3101297/On-the-Demand-for-High-Beta-Stocks-Evidence-from?redirectedFrom=fulltext

翻译：何杉