Financial Analyst Journal, Volume67, Issue5, 2011

交易与否？长期投资者的短期交易信号

作者：Roni Israelov (AQR Capital Management),

Michael Katz (AQR Capital Management)

摘要：当长期投资者进行缓慢变化的投资组合交易时，他们对何时应该进行或调整组合构成并不特别敏感。短期信息可以用来指导投资者如何安排交易时间。战略性交易调整提供了接触短期信号的机会，而无需施加额外的交易成本或交易量限制。长期投资者不应仅仅因为交易成本太高而忽视短期信息。

To Trade or Not to Trade? Informed Trading with Short-Term Signals for Long-Term Investors

Roni Israelov (AQR Capital Management), Michael Katz (AQR Capital Management)

ABSTRACT

When long-term investors trade slowly changing portfolios, they are not particularly sensitive to when they should place or modify their bets. Short-term information can be used to guide investors on how to time their trades. Strategic trade modification provides exposure to short-term signals without imposing additional transaction costs or capacity limits. Long-term investors should not ignore short-term information simply because it is too expensive to trade on.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v67.n5.3

翻译：秦秀婷