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Journal of Banking & Finance·Volume 50, January 2015, Pages 157–168
关于共同基金使用期权:他们知道自己在做什么吗?
作者:Gjergji Cici (Mason School of Business, University of Cologne), Luis-Felipe Palaciosc (WRDS, University of Pennsylvania)
摘要:鉴于最近对共同基金衍生工具交易行为的监管调查,我们检验了其具体的期权持有量,以此来探究共同基金如何使用期权、哪些基金使用期权以及期权如何影响共同基金的业绩和风险。共同基金使用期权与创收和对冲动机一致,也与投资组合经理的经验、教育水平和性别特征系统性相关,但平均而言,使用期权并不会带来业绩效益。相反,某些使用期权的行为将导致基金表现不佳。另外,并没有记录显示期权的使用者承担了更多的永久性或临时性激进风险,相反的,我们发现了一些基金通过使用期权有效地降低了风险。
关键词:期权,共同基金,衍生工具,业绩,对冲,投机
On the use of options by mutual funds: Do they know what they are doing?
Gjergji Cici (Mason School of Business, University of Cologne), Luis-Felipe Palaciosc (WRDS, University of Pennsylvania)
ABSTRACT
Given recent regulatory inquiries into the derivative-trading practices of mutual funds, we examine their detailed option holdings to assess how mutual funds employ options, what funds use options, and how that affects performance and risk. Mutual funds’ use of options appears consistent with income generation and hedging motives, is systematically related to experience, education, and gender characteristics of portfolio managers, and does not lead to performance benefits, on average. Instead, certain uses of options lead to underperformance. We document no permanent or temporary aggressive risk taking by options users, finding instead that some funds use options to effectively lower risk.
Keywords: Options, Mutual funds, Derivatives, Performance, Hedging, Speculation
原文链接:
http://dx.doi.org/10.1016/j.jbankfin.2014.09.008
翻译:贾梦悦
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