Journal of Financial Economics Volume 130, Issue 1, October 2018, Pages 114-134

信息基金规模，管理能力和投资者理性

作者：MinZhu (Queensland University of Technology)

摘要：本文考虑了Pástor等人（2015年）在积极管理中规模报酬的性质，但是他们未能在基金层面建立规模不经济。使用增强的实证策略，我们发现基金规模对业绩有显著的负面影响。这一经验证据表明，基金alpha和基金规模不是独立的实体。因此，能力不应该由基金alpha衡量，而是应该通过基金从资本市场中提取的价值来衡量。 我们还表明市场上存在能够正确利用正净现值投资机会的成熟投资者。

Informative fund size, managerial skill, and investor rationality

MinZhu (Queensland University of Technology)

ABSTRACT

This paper considers the nature of returns to scale in active management following Pástor et al. (2015) who fail to establish diseconomies of scale at the fund level. Using an enhanced empirical strategy, we find a significant negative impact of fund size on performance. This empirical evidence indicates that fund alpha and fund size are not independent entities. Consequently, skill, rather than being measured by the fund alpha, should be measured by the value that a fund extracts from capital markets. We also show that there exist sophisticated investors who correctly exploit positive net present value investment opportunities.

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X18301508

翻译：黄涛