Countryand Industry Concentration and the Performance of International Mutual Funds
Countryand Industry Concentration and the Performance of International Mutual Funds
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国家和行业集中度与国际共同基金的表现
DOI：
10.1016/j.jbankfin.2015.04.023
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发表时间：
2015
影响因子：
3.7
通讯作者：
Xue Wang
中科院分区：
文献类型：
--
作者：
Takato Hiraki;Ming Liu;Xue Wang
我们使用国际股票共同基金的数据集来研究国家和行业投资组合集中度与业绩之间的关系。按集中度指标排序时，最集中的五分之一的基金在国家和行业维度上的月度表现分别比最多元化的五分之一的基金高出 0.16% 和 0.30%。进一步分析表明，集中型基金的优异表现很大程度上是由行业而非国家集中度驱动的，这表明全球行业私人信息的存在。最后，我们发现，行业集中型基金对持有最多的行业的轮换频率低于多元化基金，而且这些基金随后购买的行业表现优于其出售的行业。
We examine the relation between country and industry portfolio concentration and performance using a data set of international equity mutual funds. When sorted by concentration measures, funds in the most concentrated quintile outperform those in the most diversified quintile by 0.16% and 0.30% monthly in country and industry dimensions, respectively. Further analysis shows that the superior performance of concentrated funds is largely driven by industry rather than country concentration, suggesting the existence of global industry private information. Finally, we show that industry-concentrated funds rotate top-holding industries less frequently than their diversified counterparts, and that the industries these funds purchase subsequently outperform the industries they sell.