论文标题
投资者为什么要购买积极管理的股票共同基金的股票？从不知情的投资者的角度考虑正确的参考资料组合1，2
Why do investors buy shares of actively managed equity mutual funds? Considering the Correct Reference Portfolio from an Uninformed Investor's Perspective 1, 2
论文作者
论文摘要
我们使用Grossman \＆Stiglitz（1980）框架来为不知情的投资者建立参考资料组合，并使用该投资组合来评估积极管理的股票共同基金的绩效。我们提出了一种经验方法，可以使用有关价格和供应的信息来构建此参考资料组合。我们表明，共同基金在考虑该投资组合作为参考时，平均每年可提供23个基点的微不足道的alpha。由于股票市场指数是市场投资组合的代理，因此平均基金Alpha为负，并且非常重要，-128个基点每年。根据基金的特征和选择性程度，考虑各种资金子集时，结果是可靠的。根据考虑不对称知情的投资者并部分揭示均衡价格的合理期望平衡模型，我们的研究支持积极的管理为统一的投资者增加了价值。
We use the Grossman \& Stiglitz (1980) framework to build a reference portfolio for uninformed investors and employ this portfolio to assess the performance of actively managed equity mutual funds. We propose an empirical methodology to construct this reference portfolio using the information on prices and supply. We show that mutual funds provide, on average, an insignificant alpha of 23 basis points per year when considering this portfolio as a reference. With the stock market index as a proxy for the market portfolio, the average fund alpha is negative and highly significant, --128 basis points per year. The results are robust when considering various subsets of funds based on their characteristics and their degree of selectivity. In line with rational expectations equilibrium models considering asymmetrically informed investors and partially revealing equilibrium prices, our study supports that active management adds value for uniformed investors.
