Are hedge fund investors really as smart as they are presumed to be?

由于共同基金和对冲基金行业的庞大规模，以及与被动指数投资相比，主动投资管理的费用结构是否合理，主动管理是否能产生正的异常回报，以及主动经理是否能持续跑赢市场，这些问题一直被广泛讨论。此外，在半强有效市场中，主动管理不应该能够持续产生卓越的超额回报（Bollen和Busse， 2005），这导致共同基金绩效文献在回答有关市场效率的重要问题时充分性。一篇被大量引用的研究这个问题的论文是詹森（1969）的一篇研究投资组合经理跑赢市场的能力的论文。这项开创性的工作导致了金融领域一个相当大的研究领域。虽然大多数关于共同基金和对冲基金的文献关注的是业绩持续性，但从共同基金和对冲基金数据中可以获得的另一个重要见解是投资者如何做出投资决策。Sirri和Tufano（1998）发现股票型共同基金投资者的投资决策是基于过去的业绩。更重要的是，他们发现，投资者这样做是不对称的，他们不成比例地更多地投资于那些表现非常好的基金，但同时，在决定撤资时，这些基金对业绩不佳并不十分敏感。Fung等人（2008）发现对冲基金投资者比共同基金投资者表现出更高的流量绩效敏感性，当基金表现不佳时，对冲基金投资者更有可能撤资。这一结果表明，共同基金投资者与对冲基金投资者的投资决策不同。对冲基金行业的现行立法确实考虑到了这种行为上的差异，含蓄地假设对冲基金投资者比共同基金投资者更有见识。人们可能还会认为，机构共同基金投资者比普通散户投资者更有见识，因此他们的行为应该与对冲基金投资者的基金购买行为相当相似。Evans和Fahlenbach（2012）的一篇论文将机构基金投资者的资金流动作为行使市场治理的一种方式，研究了纯散户基金和机构基金以及孪生基金的业绩差异。不幸的是，他们只关注共同基金，而不把对冲基金纳入研究范围。与Evans和Fahlenbach（2012）类似的设置，同时通过Berk等人（2014）设计的增值方法来衡量绩效，应该可以增强我们对对冲基金投资者与专业机构投资者相比的基金购买决策的理解，从而更清楚地了解当前立法中隐含假设的充足性，即对冲基金投资者比普通散户共同基金投资者更有知识。

Whether active management can produce positive abnormal returns and if active managers can persistently beat the market, has been widely discussed due to the sheer size of the mutual fund and hedge fund industry as well as the question whether active investment management can justify its accompanying higher fee structure in comparison to passive index investments. Furthermore, in a semi-strong efficient market, active management should not be able to produce superior excess returns persistently (Bollen and Busse, 2005), resulting in the adequacy of the mutual fund performance literature in answering important questions on market efficiency. A heavily cited paper investigating this issue is a work by Jensen (1969) that examines the ability of portfolio managers to outperform the market. This seminal work led to a rather large research area within the field of finance. While most of the literature in mutual and hedge funds is focused on performance persistence, another vital insight that can be gained from mutual and hedge funds data is how investors take their investment decision. Sirri and Tufano (1998) find that equity mutual fund investors base their investment decision on past performance. More importantly they find that investors do so asymmetrically by investing disproportionally more in funds that performed very well but at the same time are not very sensitive to bad performance when deciding to divest. Fung et al. (2008) find that hedge fund investors exhibit a much higher flow performance sensitivity compared to mutual fund investors and are more likely to divest when a fund exhibits bad performance. This result suggests that mutual fund investors take different investment decisions to hedge fund investors. Current legislation on the hedge fund industry does take this difference in behavior into account by implicitly assuming that hedge funds investors are more knowledgeable than mutual fund investors. One might also expect that institutional mutual fund investors are more knowledgeable than the average retail investor and their behavior should therefore be fairly similar to the fund purchasing behavior of hedge fund investors. A paper by Evans and Fahlenbach (2012) studies the difference in performance of retail only and institutional as well as twin funds by considering fund flows of institutional fund investors as a way of exercising market governance. Unfortunately, they only look at mutual funds and do not consider hedge funds within their study. A setting similar to the one by Evans and Fahlenbach (2012), while measuring performance via a value-added approach designed by Berk et al. (2014) should enhance our understanding of the fund purchasing decisions by hedge fund investors in comparison to professional institutional investors and, thus, provide some more clarity on the adequacy of the current implicit assumption in legislation that hedge fund investors are more knowledgeable than the average retail mutual fund investor.