JOURNAL OF EMPIRICAL FINANCE，VOL44 ,DECEMBER 2017

尾部风险对冲，股利追涨和投资限制：使用交易所交易票据的共同基金

作者：David Rakowski(University of Texas at Arlington)

Sara E.Shirley(Middle Tennessee State University)

Jeffrey R.Stark(Middle Tennessee State University)

摘要：我们的研究考察了新设计的证券——交易所交易票据（ETN）的共同基金需求。研究发现有力的证据表明，ETN中的共同基金持有头寸的数量明显落后，持有ETN的动机不在最大化回报率上。共同基金持有ETN来对冲尾部风险，并获得更高的股息收益率。共同基金偏好持有类似ETN的衍生产品，尽管这种偏好与合约约束无关。最后，我们发现ETN投资的作用时间限于短线市场。

关键词：交易所交易票据（ETNs）,共同基金，尾部风险套期保值，股息收益率，投资限制，卖空

Tail-risk Hedging, Dividend Chasing, and Investment Constraints: The Use of Exchange-traded Notes by Mutual Funds

David Rakowski(University of Texas at Arlington),Sara E.Shirley(Middle Tennessee State University),Jeffrey R.Stark(Middle Tennessee State University)

ABSTRACT

Our study examines mutual fund demand for a newly designed security, exchange-traded notes (ETNs). We find strong evidence that mutual fund long positions in ETNs significantly underperform and that the motivations to hold ETNs lie outside of maximizing returns. Mutual funds hold ETNs to hedge tail risk and to gain access to higher dividend yields. Mutual funds have a strong preference for derivative-like ETNs although this preference is unrelated to contractual constraints. Finally, we show that skilled timing of ETN investments is limited to the short-sales market.

Keywords: Exchange Trade Notes(ETNs), Mutual Funds, Tail-risk Hedging, Dividend Yield, Investment Constraints, Short Selling

原文链接：

http://www.sciencedirect.com/science/article/pii/S0927539817300750#!

翻译：王秭越