投资区域内活跃份额价值的变化：来自全球股票基金的证据

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2025-09-01 DOI:10.1016/j.jbankfin.2025.107545

Markus Broman , Jon Fulkerson

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引用次数: 0

摘要

使用3250个全球股票基金的全球样本，我们提供了积极份额作为强大回报预测因子的样本外证据。然而，全球基金在地区内的活跃份额预示着欧洲和亚太地区的表现会更好，但在美国则不然。我们通过显示高度活跃的全球基金经理（无论是在美国还是其他地方）在美国和国际市场上的表现都优于大盘，从而调和了这一差异。仅在美国，活跃股的低回报可预测性就源于国内的异常现象，并不能推广到全球市场。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Variation in the value of active share across regions of investments: Evidence from global equity funds

Using a worldwide sample of 3250 global equity funds, we provide out-of-sample evidence of active share as a strong return predictor. However, a global fund’s within-region active share predicts superior performance in Europe and Asia-Pacific, but not in the United States. We reconcile this difference by showing that highly active global managers (whether based in the U.S. or elsewhere) have outperformed both in U.S. and international markets primarily when they are also betting on equity anomalies. The weak return predictability of active share alone in the U.S. stems from domestic anomalies and is not generalizable to global markets.

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.