The Journal of Portfolio Management Spring 2018, 44 (5)

基金管理技能和噪音交易

作者：Feng Dong（Old Dominion University）

John A. Doukas（Old Dominion University）

摘要：本文研究表明，在市场信号嘈杂的高情绪期间，机构投资者的技能最为重要。结果显示，在高情绪期间，具有最高（最低）技能的基金经理增加（损失）了771万美元（564万美元）的价值，而整个样本期间平均经理的收益为374万美元。当市场情绪低迷时，高技能基金经理的价值损失只有18万美元，远远低于技能较低的基金经理所实现的3,032万美元的损失。

Fund Management Skill and Noise Trading

Feng Dong（Old Dominion University），John A. Doukas（Old Dominion University）

ABSTRACT

In this article, the authors show that institutional investors’ skill matters most during high sentiment periods when market signals are noisy. The results reveal that the fund managers with the highest (lowest) skill add (lose) $7.71 ($5.64) million of value during high sentiment periods, compared with a $3.74 million gain realized by the average manager during the entire sample period. When the market sentiment is low, highly skilled fund managers incur a value loss of only $0.18 million, much smaller than the $30.32 million loss realized by their less-skilled counterparts.

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原文链接：

http://jpm.iijournals.com/content/44/5/113

翻译：黄涛