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

对冲基金投资者真的像他们想象的那样聪明吗？

基本信息

批准号：
2078692
负责人：
金额：
--
依托单位：
University of Cambridge
依托单位国家：
英国
项目类别：
Studentship
财政年份：
2018
资助国家：
英国
起止时间：
2018 至无数据
项目状态：
已结题

来源：
https://gtr.ukri.org/projects?ref=studentship-2078692
关键词：
hedge fund investors really smart

项目摘要

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.

积极管理是否可以产生积极的异常回报，以及积极管理者是否可以持续击败市场，由于共同基金和对冲基金行业的庞大规模，以及积极投资管理是否可以证明其相较于被动指数投资的更高费用结构是合理的问题，已经得到了广泛的讨论。此外，在一个半强有效的市场，积极管理不应该能够产生上级超额收益持续（Bollen和Busse，2005），导致在回答市场效率的重要问题的共同基金业绩文献的充分性。詹森（Jensen，1969）的一篇研究这一问题的论文被大量引用，该论文考察了投资组合经理跑赢市场的能力。这项开创性的工作导致了金融领域内相当大的研究领域。虽然大多数共同基金和对冲基金的文献都集中在业绩持续性上，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，股票共同基金投资者的投资决策基于过去的业绩。更重要的是，他们发现，投资者这样做是不对称的，他们会更多地投资于表现出色的基金，但同时在决定撤资时对糟糕的表现并不敏感。Fung等人（2008）发现，与共同基金投资者相比，对冲基金投资者表现出更高的流量业绩敏感度，并且在基金表现不佳时更有可能撤资。这一结果表明，共同基金投资者采取不同的投资决策，对冲基金投资者。目前对冲基金行业的立法确实考虑到了这种行为上的差异，隐含地假设对冲基金投资者比共同基金投资者更有知识。人们可能还认为，机构共同基金投资者比普通散户投资者更有知识，因此他们的行为应该与对冲基金投资者的购买行为相当相似。Evans and Fahlenbach（2012）的论文通过将机构基金投资者的资金流动作为市场治理的一种方式，研究了散户基金、机构基金和双生基金的业绩差异。不幸的是，他们只关注共同基金，而不考虑对冲基金。类似于Evans和Fahlenbach（2012）的设置，同时通过Berk等人（2014）设计的增值方法来衡量业绩，这应该会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，因此，更清楚地说明目前立法中隐含的假设是否充分，即对冲基金投资者比普通散户共同基金投资者更有知识。