全球经济危机期间共同基金股票持有量的集中

IF 9.8 1区 经济学 Q1 BUSINESS, FINANCE
Mark Fedenia, Hilla Skiba, Tatyana Sokolyk
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引用次数: 0

摘要

本研究考察了在全球经济遭受重大冲击期间,国家、行业和安全层面的投资组合股权集中度是否会导致全球共同基金的更好表现。我们发现,在经济危机期间,共同基金的股票投资组合更加集中于各个国家和行业,基金经理更积极地选择证券,而不是被动地进行基准投资。更集中的股票配置与更高的投资组合回报相关,似乎是由信息优势驱动的。总体而言,研究结果表明,在全球经济遭受负面冲击时,共同基金经理在全球市场集中头寸,利用信息优势,产生更高的风险调整回报。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Concentration in mutual fund equity holdings during global economic crises
This study examines whether portfolio equity concentration at the country, industry, and security levels results in better performance of global mutual funds during periods of significant shocks to the global economy. We document that mutual funds’ equity portfolios are more concentrated across countries and industries during economic crises, and fund managers engage in more active security selection rather than passive benchmark investing. More concentrated equity allocations are associated with higher portfolio returns and appear to be driven by information advantage. Overall, results suggest that mutual fund managers employ information advantage and generate higher risk-adjusted returns with concentrated positions in global markets during times of negative shocks to the global economy.
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来源期刊
CiteScore
10.30
自引率
9.80%
发文量
366
期刊介绍: The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.
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