Journal of Banking and Finance ·Volume 89· APR 2018

共同基金家族内部市场的无形之手

作者：Luis Goncalves-Pinto (Chinese University of Hong Kong) Juan Sotes-Paladino (University of Melbourne, Department of Finance)

Jing Xu (Renmin University of China, School of Finance)

摘要：系列基金的内部市场可能会使得成员基金过度偏离其投资任务。理论上，我们发现风格基准显著不同的基金经理可以通过在家族内以低成本进行交易来进行风险转移。即使没有基金家族层面的战略，这也有利于基金管理者和基金家族。然而，基金管理者承担的过度风险可能会为投资者增加成本。实证上，我们发现基金家族内部多样性对抵消基金交易和基金组合相对于基准的偏离具有积极作用。

关键词：共同基金家族；跨界交易；基准；股票非流动性

The invisible hand of internal markets in mutual fund families

Luis Goncalves-Pinto (Chinese University of Hong Kong) Juan Sotes-Paladino (University of Melbourne, Department of Finance) Jing Xu (Renmin University of China, School of Finance)

ABSTRACT

The internal markets of fund families can encourage member funds to deviate excessively from their investment mandates. Theoretically, we show that fund managers following sufficiently different style benchmarks can engage in risk-shifting by trading with one another at low cost inside their family. This benefits the managers and the family even in the absence of a family-level strategy. However, the excessive risks taken by the managers can be costly to fund investors. Empirically, we find support for the positive effect of intra-family style diversity on offsetting trades across funds and on deviations of funds’ portfolios from their benchmarks.

Keywords: Mutual fund families; Cross-trading; Benchmarking; Stock illiquidity

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426618300256

翻译：张展