Journal of Financial and Quantitative Analysis / Volume 51 / Issue 03 / June 2016

何为对冲基金经理能力的本质？来自风险套利策略的证据

作者：Charles Cao（Pennsylvania State University, Smeal College of Business, University Park）

Bradley A. Goldie（Miami University - Farmer School of Business）

Bing Liang （University of Massachusetts Amherst - Isenberg School of Management）

Lubomir Petrasek（Board of Governors of the Federal Reserve System）

摘要：为了理解对冲基金经理能力的本质，我们通过利用对冲基金持有的组合并跟其他机构套利者的对比，研究了对冲基金风险套利的表现。最后发现，对冲基金能够显著战胜基准风险套利组合，得到额外3.7%的经过风险调整后的年收益率。而非对冲的基金未能战胜基准。经分析，对冲基金的优异成绩并非来源于基金经理的预测能力或者影响兼并收购事件结果的能力，而应归因于他们管理下行风险的能力。

What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk-Arbitrage Charles

Charles Cao (Pennsylvania State University, Smeal College of Business, University Park), Bradley A. Goldie (Miami University - Farmer School of Business), Bing Liang (University of Massachusetts Amherst - Isenberg School of Management), Lubomir Petrasek (Board of Governors of the Federal Reserve System)

ABSTRACT

To understand the nature of hedge fund managers’ skills, we study the implementation of risk arbitrage by hedge funds using their portfolio holdings and comparing them with those of other institutional arbitrageurs. We find that hedge funds significantly outperform a naive risk-arbitrage portfolio by 3.7% annually on a risk-adjusted basis, whereas non–hedge fund arbitrageurs fail to outperform the benchmark. Our analysis reveals that hedge funds’ superior performance does not reflect fund managers’ ability to predict or affect the outcome of merger and acquisition deals; rather, hedge fund managers’ superior performance is attributed to their ability to manage downside risk.

原文链接：http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=10433448&fulltextType=RA&fileId=S0022109016000387

翻译：傅亚平