JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS Vol. 51, No. 3, June 2016, pp. 771–800

基于风格层面的共同基金经理的反馈交易研究

作者：Bart Frijns, Aaron Gilbert (Auckland University of Technology - Business School), Remco C. J. Zwinkels (VU University Amsterdam- Faculty of Economics and Business Administration)

摘要：本文考察了美国共同基金经理基于风格层面的反馈交易行为。我们利用了Barberis 和Shleifer的风格调整模型进行实证研究，分析了77%的共同基金基于风格层面的反馈交易，发现其中一半是正（负）反馈交易。同时我们提供了“双重风格”调整的证据，资本可以在价值型和成长型之间、大盘型和小盘型之间调整。成长（价值）型基金运用了更多正（负）反馈交易，更主动调整的基金通常更为年轻且拥有更高的费用比率。最后，我们发现正（负）反馈交易会带来正（负）的阿尔法。

On the Style-Based Feedback Trading of Mutual Fund Managers

Bart Frijns, Aaron Gilbert (Auckland University of Technology - Business School), Remco C. J. Zwinkels (VU University Amsterdam- Faculty of Economics and Business Administration)

ABSTRACT

This paper examines the style-based feedback trading behavior of U.S. mutual fund managers. We provide an empirical version of Barberis and Shleifer’s style-switching model. We find style-based feedback trading for 77% of the funds, half of which is positive (negative) feedback trading. There is evidence for “twin style” switching, where capital is channeled between value and growth, and between large- and small-cap. Growth (value) funds apply more positive (negative) feedback trading. Funds that switch more aggressively are younger and have higher expense ratios. Finally, we find that positive (negative) feedback trading yields positive (negative) alpha.

原文链接：https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/on-the-style-based-feedback-trading-of-mutual-fund-managers/CD58BA084C10C5912EC76C0676AB2001

翻译：陈然