The Journal of Financial Economics Volume 118, Issue2, November 2015, Pages 289–298

波动性与共同基金经理的能力

作者：Bradford D. Jordan (University of Kentucky-Gatton College of Business and Economics), Timothy B. Riley (US Securities and Exchange Commission-Division of Economic and Risk Analysis)

摘要：在标准的四因子模型框架下，共同基金收益率的波动是未来异常收益的一个可靠、稳定且十分有力的预测指标。然而，同由低波动性和高波动性的股票所构成的投资组合收益对比后发现，异常收益被一个附加的异常波动因子（“vol” anomaly factor）所抵消了。这个发现同Novy-Marx (2014)，Fama and French (2014)和Fama and French (2015)的研究相一致，这些研究发现盈利因子和投资因子在解释异常收益时是同样的有效。无论直接或者间接都无法成功解释波动异常，这导致了对基金经理能力的错误估计。

关键词：共同基金，能力，波动性，市场效率，异常

Volatility and mutual fund manager skill

Bradford D. Jordan (University of Kentucky-Gatton College of Business and Economics), Timothy B. Riley (US Securities and Exchange Commission-Division of Economic and Risk Analysis)

ABSTRACT

In a standard four-factor framework, mutual fund return volatility is a reliable, persistent, and powerful predictor of future abnormal returns. However, the abnormal returns are eliminated by the addition of a “vol” anomaly factor contrasting returns on portfolios of low and high volatility stocks. Consistent with Novy-Marx (2014) and Fama and French (2014), the Fama and French (2015) profitability and investment factors are equally effective at eliminating the abnormal returns. Failure to account for the vol anomaly, either directly or indirectly, can lead to substantial mismeasurement of fund manager skill.

Keywords: Mutual funds , Skill , Volatility , Market efficiency , Anomaly

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X1500118X

翻译：秦秀婷