Review of Finance, Volume 21, Issue 3, 1 May 2017, Pages 1093–1121,

基金表现与股票出借：为什么借出可以卖出的股票？

作者：Richard Evans (University of Virginia Darden School of Business), Miguel A. Ferreira (Nova School of Business and Economics), Melissa Porras Prado (Nova School of Business and Economics)

摘要：借出股票的共同基金的百分比大幅上升意味着借出费用成为投资顾问越来越重要的收入来源。我们发现借出股票的基金比借出收入的基金表现差。这种效应集中在不能短期内对做空信号做出反应的基金中，因为这些基金中基金家族设置的投资限制要求他们将资金投资于不同的风格。我们的发现表明家族组织解释了为什么基金经理在需要做空时借出股票而不是卖出股票。

关键词：共同基金，指数基金，表现，证券出借

Fund Performance and Equity Lending: Why Lend What You Can Sell?

Richard Evans (University of Virginia Darden School of Business), Miguel A. Ferreira (Nova School of Business and Economics), Melissa Porras Prado (Nova School of Business and Economics)

ABSTRACT

The dramatic increase in the percentage of mutual funds lending equities suggests that lending fees are an increasingly important source of income for investment advisors. We find that funds that lend equities underperform otherwise similar funds in spite of lending income. The effect of lending is concentrated in funds that cannot act on the short-selling signal due investment restrictions set by the fund family to diversify their fund offerings across styles. Our findings suggest that the family organization explains why fund managers lend, rather than sell, stocks with short selling demand.

原文链接: https://academic.oup.com/rof/article-abstract/21/3/1093/2452370/Fund-Performance-and-Equity-Lending-Why-Lend-What?redirectedFrom=fulltext

翻译：汪国颂