对冲基金与正向非同步波动效应

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2024-07-29 DOI:10.1093/rof/rfae022

Turan G Bali, Florian Weigert

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引用次数: 0

摘要

虽然特质波动性在股票收益的横截面上是负定价，但特质波动性与对冲基金收益之间的关系在很大程度上尚未得到探讨。根据我们的记录，特质波动率高的对冲基金比特质波动率低的对冲基金获得更高的未来风险调整回报，年均回报率为 6%。对冲基金之所以表现优异，是因为它们明智地交易了高特质波动率股票。它们在高波动率股票定价过低时选择这些股票，在高波动率股票定价过高时卖空这些股票。我们的研究结果支持了对冲基金的特异波动率是衡量管理技能的一个指标这一观点。

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Hedge Funds and the Positive Idiosyncratic Volatility Effect

While it is established that idiosyncratic volatility is negatively priced in the cross-section of stock returns, the relation between idiosyncratic volatility and hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility earn higher future risk-adjusted returns of 6% p.a. than hedge funds with low idiosyncratic volatility. The outperformance arises because hedge funds trade high idiosyncratic volatility stocks wisely. They pick high volatility stocks when they are underpriced and short-sell high volatility stocks when they are overpriced. Our results support the notion that hedge funds’ idiosyncratic volatility is a measure of managerial skill.

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来源期刊

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.