假的α

Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal Pub Date : 2021-03-08 DOI:10.2139/ssrn.2899722

M. Müller, Tobias Rosenberger, M. Uhrig-Homburg

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引用次数: 0

摘要

我们开发了一个共同基金投资者追逐CAPM alpha的模型。经理们可以通过发现定价错误(真阿尔法)或增加超出CAPM范围的风险因素(假阿尔法)来产生CAPM alpha。投资者无法区分两种不同类型的alpha，因此混淆了Fake alpha和True alpha。我们表明，这种事后混淆导致平衡状态下的负CAPM α。实证结果支持了我们的理论预测:平均CAPM alpha显著为负，大量假alpha的零售基金为投资者提供的CAPM alpha显著低于同行。

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Fake Alpha

We develop a model in which mutual fund investors chase CAPM alpha. Managers can generate CAPM alpha either by discovering mispricing – True Alpha – or by loading on risk factors that are beyond the scope of the CAPM – Fake Alpha. Investors cannot distinguish between the two different types of alpha and thus confuse Fake Alpha with True Alpha. We show that this confusion ex-post causes negative CAPM alpha in equilibrium states. Empirical results support our theoretical predictions: The average CAPM alpha is significantly negative, and retail funds with large loads of Fake Alpha provide investors significantly lower CAPM alpha than their peers.

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Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal

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