Journal of Banking and Finance ·Volume 93· AUG 2018

你的对冲基金经理是否在有意地平稳回报？

作者：Tae Yoon Kim (Department of Statistics, Keimyung University)

Hee Soo Lee (Department of Business Administration, Sejong University)

摘要：我们提出了一种计量经济学的方法，可以区分对冲基金回报平滑是有意的或无意的。除了对冲基金回报（Y），我们引入了一个解释变量：对冲基金回报的市场组合（X）。通过连接X和Y，发现一些关键参数可以有效地预测两种回报平滑类型。使用这些参数，我们构建了独特的针对有意和无意平滑的去平滑算法。实证结果表明，尽管有意平滑是对冲基金平滑的部分原因，并且比无意平滑更为稳健，但回报平滑主要是由于标的资产的性质造成的。

关键词：有意平滑；无意的非流动性平滑；去平滑算法

Does your hedge fund manager smooth returns intentionally or inadvertently?

Tae Yoon Kim (Department of Statistics, Keimyung University) Hee Soo Lee (Department of Business Administration, Sejong University)

ABSTRACT

We propose an econometrically logical approach that distinguishes intentional from inadvertent smoothing of hedge fund return. Other than the hedge fund return (Y) we introduce an explanatory variable: a market portfolio of hedge fund returns (X). By connecting X and Y, some critical parameters are found to be effectively related to testing the two types of return smoothing. Using those parameters, we develop distinct desmoothing algorithms against intentional and inadvertent smoothing. Our empirical results show that although intentional smoothing is partly responsible for hedge fund smoothing and is done more consistently than inadvertent smoothing, return smoothing is mainly caused by the nature of underlying assets.

Keywords: Intentional smoothing; Inadvertent illiquidity smoothing; Desmoothing algorithm

原文链接：https://www.sciencedirect.com/science/article/pii/S0378426618301018

翻译：张展