Journal of Financial Economics, Volume 123,Issue 1,January 2017,Pages 189-208

投资组合集中性与全球机构投资者的表现

作者：Nicole Choi (University of Wyoming),Mark Fedenia(University of Wisconsin),Hilla Skiba(Colorado State University),Tatyana Sokolyk(Brock University)

摘要：本文通过使用来自72个国家10771个机构投资者的持股数据，来检测集中性的投资策略能否产生风险调整后的超额回报。我们研究了几个关于国家和行业的测度投资组合集中性的指标，发现对于全球机构投资者而言，投资组合集中性与风险调整回报直接相关。结果表明，与传统资产定价理论相比，在信息优势理论的支持下，集中性投资策略在国际市场上是最优的策略选择。

关键词：国际投资，机构投资者，信息优势，本国偏好，多元化，产业集中

Portfolio concentration and performance of institutional investors worldwide

Nicole Choi (University of Wyoming),Mark Fedenia(University of Wisconsin),Hilla Skiba(Colorado State University),Tatyana Sokolyk(Brock University)

ABSTRACT

Using data on security holdings for 10,771 institutional investors from 72 countries, we test whether concentrated investment strategies result in excess risk-adjusted returns. We examine several measures of portfolio concentration with respect to countries and industries and find that portfolio concentration is directly related to risk-adjusted returns for institutional investors worldwide. Results suggest, in contrast to traditional asset pricing theory and in support of information advantage theory, that concentrated investment strategies in international markets can be optimal.

Keywords: International investments, Institutional investors, Information advantage, Home bias, Diversification, Industry concentration

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X16301581

翻译：秦秀婷