衍生品,卖空和美国股票和债券共同基金

IF 0.9 Q3 BUSINESS, FINANCE
Kaveh Moradi Dezfouli, L. Kryzanowski
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引用次数: 0

摘要

本文利用一个庞大而独特的数据库,研究了美国股票和债券开放式共同基金对衍生品和卖空行为的使用和影响。我们发现,除了来自较大家族的股票型基金卖空外,两种基金类型的基金使用它们的可能性与基金规模、家族规模和基金周转率呈正相关。我们的研究结果表明,使用衍生品的基金在毛收益和净收益的基础上,表现出明显更高的基准调整业绩。这样做不会对市场beta、净费用比率(ner)或经纪费用占总净资产(TNA)的比例产生不利影响。我们发现债券基金的衍生工具使用与非系统性风险负相关,而卖空使用与总风险和系统性风险正相关。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Derivatives, Short Selling and US Equity and Bond Mutual Funds
The use and effect of derivatives and short selling by US equity and bond open-end mutual funds are studied using a large and unique database. We find that the likelihood of their use is positively related to fund size, family size, and fund turnover for both fund types except for short selling by equity funds from larger families. Our findings suggest that funds that use derivatives exhibit significantly higher benchmark-adjusted performances based on both gross- and net-of-fees returns. This is done without adversely affecting market betas, net expense ratios (NERs), or brokerage fees as a proportion of total net assets (TNA). We find that for bond funds derivative use is negatively associated with non-systematic risk and short selling use is positively associated with total and systematic risk.
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
自引率
0.00%
发文量
0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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