Review of Accounting Studies·March 2017

应计质量、技术与共同基金收益率的横截面分析

作者：Suresh Nallareddy (Duke University), Maria Ogneva (University of Southern California)

摘要：我们使用积极管理的共同基金收益率来研究应计质量（AQ）与系统性（价格）风险之间的关系。尽管具备引人夺目的理论论证，但是已有研究并没有有效证据能证明较差的AQ意味着横截面上的股票历史收益率的风险溢价。我们认为，先前获得的溢价估计是下偏的，这因为对于很大一部分低AQ股票，恶化的基本面消息抵消了更高的预期收益。我们提出，技术水平高的共同基金经理应该能够避免投资或者减持基本面趋向恶化的股票。因此，他们投资组合的回报应该能更好地反映预期的AQ风险溢价。我们的实证证据与以上预测相一致。

关键词：应计质量，资本成本，预期收益，共同基金，技术

Accrual quality, skill, and the cross-section of mutual fund returns

Suresh Nallareddy (Duke University), Maria Ogneva (University of Southern California)

ABSTRACT

We use returns of actively managed mutual funds to document the link between accrual quality (AQ) and systematic (priced) risk. Despite compelling theoretical arguments, prior research finds no evidence that poor AQ commands a risk premium in the cross-section of realized stock returns. We argue that the previously obtained premium estimates are biased downward because, for a large portion of poor AQ stocks, higher expected returns are offset by the news of deteriorating fundamentals. We suggest that skilled mutual fund managers should be able to either avoid investing in stocks with deteriorating fundamentals or assign them lower portfolio weights. As a consequence, returns on their portfolios should better reflect the expected AQ risk premium. Our empirical evidence is consistent with these predictions.

Keywords: Accrual quality, Cost of capital, Expected returns, Mutual funds, Skill

原文链接：

http://link.springer.com/article/10.1007/s11142-017-9389-z

翻译：黄涛