共同基金锦标赛：有交易成本的国家风险承担

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2024-02-15 DOI:10.1016/j.ememar.2024.101119

Lu Zhao, Liang Wang, Ronghua Luo

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引用次数: 0

摘要

我们通过考虑主动管理型共同基金在证券交易中的交易成本，研究了它们在不同状态下的风险承担行为。我们的锦标赛模型均衡表明，当交易成本较低时，中期赢家基金倾向于比中期输家持有波动性更大的投资组合。然而，当交易成本较高时，中期输家可能比中期赢家承担更多的风险，而且这种行为在基金的负风险溢价状态下更为显著。我们提供了 2005 年至 2019 年中美两国风险承担状态变化的有力实证证据。由于股票市场的买卖价差比中国低 20 个基点，因此美国的共同基金锦标赛受到的影响较小。

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Mutual fund tournaments: State-dependent risk taking with transaction costs

We investigate the state-varying risk taking behavior of actively managed mutual funds by considering their transaction costs in trading securities. Our tournament model equilibrium suggests that, while transaction costs are low, interim winner funds tend to hold more volatile portfolios than interim losers. However, while transaction costs are high, the interim losers may take more risk than interim winners, and such behavior is more significant in the negative risk premium state for funds. We provide robust empirical evidence of state-varying risk-taking in both U.S. and China from 2005 to 2019. The U.S. mutual fund tournaments are less influenced given the bid-ask spreads on the stock market are 20 bps lower than that in China.

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.