MANAGEMENT SCIENCE ·VOL. 61, NO. 12· DECEMBER 2015

对冲基金与股票市场有效性

作者: Joni Kokkonen (Lisbon School of Business and Economics, Universidade Católica Portuguesa), Matti Suominen (School of Business, Luxembourg School of Finance, Aalto University)

摘要：我们使用贴现剩余收益模型衡量错误估价。如文献所示，股票错误估价的方式显著解释了他们未来的横截面收益。研究通过以最高估值和最低估值股票的错误估价差异表示错误估价的价差，衡量市场水平上的错误估价（市场无效性）。本文表明，错估价差是基于错误估价的长期投资组合回报的有力预测指标，进一步证明了其作为股票市场中错误定价水平代理变量的假设。使用对冲基金回报，对冲基金行业资产管理，流量和个人对冲基金持有量的数据，本文提出证据表明对冲基金的交易减少了市场水平上的错误估价。研究的结果在不同时期是稳健的，并不是由市场流动性驱动。此外，本文发现共同基金并不具备对冲基金的价格纠正效应。

关键词：对冲基金；错误估价；股票市场有效性

Hedge Fund and Stock Market Efficiency

Joni Kokkonen (Lisbon School of Business and Economics, Universidade Católica Portuguesa), Matti Suominen (School of Business, Luxembourg School of Finance, Aalto University)

ABSTRACT

We measure misvaluation using the discounted residual income model. As shown in the literature, this measure of stocks' misvaluation significantly explains their future cross-sectional returns. We measure the market-level misvaluation (market inefficiency) by the misvaluation spread: the difference in the misvaluation of the most overvalued and undervalued shares. We show that the misvaluation spread is a strong predictor of a misvaluation-based long–short portfolio’s returns, reinforcing the hypothesis that it proxies for the level of mispricing in the stock market. Using data on hedge fund returns, hedge fund industry assets under management, flows, and individual hedge fund holdings, we present evidence that hedge funds' trading reduces market-level misvaluation. Our results are robust across different time periods and are not driven by market liquidity. Moreover, we find that mutual funds do not have the price-correcting effect that hedge funds have.

Keywords: hedge funds; misvaluation; stock market efficiency

原文链接：https://www.researchgate.net/publication/251331633_Hedge_Funds_and_Stock_Market_Efficiency

翻译：景薇