Journal of Financial Economics, Volume 122, Issue3, December 2016, Pages 607-624

有限注意力、婚姻状况与对冲基金

作者：Yan Lu (University of Central Florida, College of Business), Sugata Ray (University of Florida, Warrington College of Business), Melvyn Teo (Singapore Management University, Lee Kong Chian School of Business)

摘要：本文通过分析那些被婚姻事件而分散注意力的对冲基金经理的表现，来探究有限注意力的影响。我们发现在结婚和离婚的六个月期间以及两年后，婚姻事件与基金较低的Alpha显著相关。那些管理多个基金的基金经理以及非团队成员的基金经理更容易受到婚姻的影响。相较于风格相同的同行而言，注意力有限的基金经理更缺乏主动投资，他们更多地去投资股指，相较于系统性因素拥有更高的R2，并且这些基金经理容易受到性格的影响。

关键词：对冲基金，有限注意力，结婚，离婚，性格影响

Limited attention, marital events and hedge funds

Yan Lu (University of Central Florida, College of Business), Sugata Ray (University of Florida, Warrington College of Business), Melvyn Teo (Singapore Management University, Lee Kong Chian School of Business)

ABSTRACT

We explore the impact of limited attention by analyzing the performance of hedge fund managers who are distracted by marital events. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding and the two-year period after the event. Busy managers who manage multiple funds and who are not part of a team are more affected by marital transitions. Inattentive managers place fewer active bets relative to their style peers, load more on index stocks, exhibit higher R-squareds with respect to systematic factors, and are more prone to the disposition effect.

Keywords: Hedge funds, Limited attention, Marriage, Divorce, Disposition effect

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X16301556

翻译：秦秀婷