机构和散户投资者的可交易风险因素

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2024-09-11 DOI:10.1093/rof/rfae034

Andreas Johansson, Riccardo Sabbatucci, Andrea Tamoni

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引用次数: 0

摘要

我们根据散户和机构投资者持有的大型流动性共同基金（多头）和 ETF（多头和空头）的组合，构建了可交易风险因子。利用新颖的数据集，我们的可交易因子考虑到了 ETF 做空成本。在评估我们的可交易因子与标准 "纸面 "因子的表现时，我们发现每年有 2%-4% 的执行缺口。做空费用和交易成本占可交易因子与 "纸面 "因子之间业绩差异的 58%，这与不交易准确的 "纸面 "投资组合的机会成本有很大关系。

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Tradable Risk Factors for Institutional and Retail Investors

We construct tradable risk factors using combinations of large and liquid mutual funds (long leg) and ETFs (long and short legs), based on their holdings, for both retail and institutional investors. Exploiting a novel dataset, our tradable factors take into account ETF shorting costs. Assessing the performance of our tradable factors against standard “on-paper” factors, we uncover an implementation shortfall of 2%−4% annually. Shorting fees and transaction costs contribute to 58% of the performance differential between tradable and “on-paper” factors, assigning a non-trivial role to the opportunity cost of not trading the exact “on-paper” portfolio.

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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.