REVIEW OF FINANCIAL STUDIES·(2016)29(10):2600-2642.doi:10.1093

哪些因素对投资者而言是重要的？来自共同基金流量的证据

作者：Brad M. Barber (Graduate School of Management- University of California, Davis), Xing Huang (Broad College of Business- Michigan State University), Terrance Odean (Haas School of Business-University of California)

摘要：当评估一个基金经理的能力时，成熟的投资者会考虑能够解释基金业绩横截面变化的所有因素（已定价的和未定价的）。我们通过分析作为近期收益的函数的共同基金流量来调查投资者重点关注的因素，其中近期收益又被分解为alpha收益和因子相关收益。令人惊讶的是，投资者在评估基金时最关注市场风险（beta），并将可归因于公司规模、价值、动量和行业因素的收益视为alpha。另外，通过使用表示投资者成熟度的代理变量（财富、资产配置渠道和高投资者情绪时期），我们发现在评估基金业绩时，成熟的投资者倾向于使用更复杂的比较基准。

Which Factors Matter to Investors? Evidence from Mutual Fund Flows

Brad M. Barber (Graduate School of Management- University of California, Davis), Xing Huang (Broad College of Business- Michigan State University), Terrance Odean (Haas School of Business-University of California)

ABSTRACT

When assessing a fund manager’s skill, sophisticated investors will consider all factors (priced and unpriced) that explain cross-sectional variation in fund performance. We investigate which factors investors attend to by analyzing mutual fund flows as a function of recent returns decomposed into alpha and factor-related returns. Surprisingly, investors attend most to market risk (beta) when evaluating funds and treat returns attributable to size, value, momentum, and industry factors as alpha. Using proxies for investor sophistication (wealth, distribution channels, and periods of high investor sentiment), we find that more sophisticated investors use more sophisticated benchmarks when evaluating fund performance.

原文链接：

http://rfs.oxfordjournals.org/content/29/10/2600.abstract?sid=4e1d7e69-69ee-4914-afd5-e31ee084d512

翻译：何杉