Financial Analysts Journal·VOL68,NO. 6·November/December 2012

共同基金的流动性风格

作者：Thomas M. Idzorek, James X. Xiong (Morningstar Investment Management), Roger G. Ibbotson (Yale School of Management)

摘要：最近文献研究表明，一种投资于流动性较差股票的流动性投资风格（liquidity investment style）可以产生相对于规模投资和价值投资的超额收益。不同于以往仅针对证券层面的研究，本文作者检验了这种投资风格是否可以应用于共同基金层面。通过对种类广泛的共同基金研究，他们发现平均程度上，持有低流动性股票的共同基金的表现要显著优于持有高流动性股票的共同基金。

The Liquidity Style of Mutual Funds

Thomas M. Idzorek, James X. Xiong(Morningstar Investment Management), and Roger G. Ibbotson(Yale School of Management).

ABSTRACT

Recent literature indicates that a liquidity investment style—the process of investing in less liquid stocks—has led to excess returns relative to size and value. The authors examined whether this style, previously documented at the security level, can be uncovered at the mutual fund level. Across a wide range of mutual fund categories, they found that, on average, mutual funds that held less liquid stocks significantly outperformed those that held more liquid stocks.

原文链接：

http://dx.doi.org/10.2469/faj.v68.n6.3

翻译：王冰伦