{"title":"衍生品,卖空和美国股票和债券共同基金","authors":"Kaveh Moradi Dezfouli, L. Kryzanowski","doi":"10.1142/S2010139216400024","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.9000,"publicationDate":"2016-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Derivatives, Short Selling and US Equity and Bond Mutual Funds\",\"authors\":\"Kaveh Moradi Dezfouli, L. Kryzanowski\",\"doi\":\"10.1142/S2010139216400024\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":45339,\"journal\":{\"name\":\"Quarterly Journal of Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.9000,\"publicationDate\":\"2016-02-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quarterly Journal of Finance\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://doi.org/10.1142/S2010139216400024\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quarterly Journal of Finance","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1142/S2010139216400024","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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.