Financial Management, Volume 44, Issue 4, pages 947–979, Winter 2015.

共同基金经理人异质性的可预测性分析

作者：Jun Huang and Albert Y. Wang

摘要：利用中国共同基金的样本数据，我们实证分析了经理人异质性如何影响共同基金业绩。我们的研究发现：相比于那些具有更低的经理人内生影响的基金，那些具有更高的经理人内生影响的基金每年能取得2%的超额收益。我们还发现：当具有更高内生影响的经理人被聘用之后，基金业绩得到显著改善。这些结果进一步支持了经理人内生影响与其天赋有关联的观点。最后，我们还发现投资人对经理人特性的关注已经超出了传统的业绩度量方法，这为已有文献中提出的基金规模与基金业绩之间存在凸的敏感度现象提供了合理的解释。

关键词：共同基金、经理人异质性、内生影响

The Predictability of Managerial Heterogeneities in Mutual Funds

Jun Huang and Albert Y. Wang

Abstract

Using a sample of Chinese mutual funds, we empirically assess how managerial heterogeneity affects mutual fund performance. We find that funds with higher manager fixed effects outperform those with lower manager fixed effects by 2% per year. We also note that fund performance improves after managers with higher fixed effects are hired. The results are consistent with the notion that manager fixed effects are associated with managerial innate ability. Finally, we find that investors pay attention to managerial attributes beyond the traditional performance measures, providing supporting evidence for the rational explanation of convex flow-performance sensitivity in the literature.

Keywords: Mutual Funds, Managerial Heterogeneities, Fixed Effects

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/fima.12075/pdf

翻译：成祺炯