دانلود مقاله مهارت مدیر صندوق
چکیده
مقدمه
داده ها و ساخت نمونه
روش شناسی
نتایج تجربی
نتیجه گیری
منابع
Abstract
Introduction
Data and sample construction
Methodology
Empirical results
Conclusions
References
چکیده
ما بررسی می‌کنیم که آیا مدیران صندوق‌های سرمایه‌گذاری متقابل مهارت متفاوتی در حوزه خرید و فروش دارند یا خیر. اگرچه آنها در مجموع دارای قابلیت زمان بندی مشخصه هستند، اما نشان می دهیم که آنها توانایی نامتقارن را هنگام خرید و فروش از خود نشان می دهند. یافته کلیدی ما این است که مدیران صندوق با توانایی فروش برتر به طور قابل توجهی در خرید سهام بهتر هستند و در نتیجه بازده کل بسیار بالاتری کسب می کنند. با این حال، مدیران صندوق‌هایی که سهام را با موفقیت خریداری می‌کنند، لزوماً مهارت‌های فروش موازی ندارند، که در کل منجر به بازده پایین‌تر می‌شود. بنابراین، ما شواهد قوی ارائه می‌کنیم که مهارت فروش، تعیین‌کننده کلیدی عملکرد کلی زمان‌بندی صندوق‌های مشترک است.
توجه! این متن ترجمه ماشینی بوده و توسط مترجمین ای ترجمه، ترجمه نشده است.
Abstract
We examine whether mutual fund managers have differential skill in the buy and sell domains. Although they have characteristic-timing ability in aggregate, we show they exhibit asymmetric ability when buying and selling. Our key finding is that fund managers with superior selling ability are significantly better at buying stocks and, as a result, earn significantly higher aggregate returns. However, fund managers who buy stocks successfully do not necessarily have parallel selling skills, leading to lower returns overall. Thus, we provide strong evidence that selling skill is the key determinant of overall mutual fund timing performance.
Introduction
“If you ask any fund manager what his or her weakest point is, I’d say it is probably selling.” (fund manager interviewed in Tuckett and Taffler 2012, p.18)
The investment community tends to place most emphasis on decisions relating to how and when to buy stocks. The finance literature equally focuses on buy decisions, and valuation methods, and stock investment styles in the buy domain have been intensively investigated and empirically tested in prior work. However, selling skill, which is necessary to exploit returns resulting from good buy decisions, has received much less empirical research attention to date (Faugere et al. 2004). The limited evidence there is on such asymmetry in attention given to buying and selling is largely of an anecdotal nature (e.g., Norris 2002). In this paper, we explore whether professional investors such as mutual fund managers possess distinct buying and selling skills and, if so, whether this might help explain the general lack of evidence of fund outperformance in the literature.
Conclusions
This study examines whether mutual fund managers, a representative group of professional investors, exhibit investment abilities, and in particular whether they have factor-timing skill, i.e., they are able to adjust portfolio exposure to the risk factors of size, book-to-market and momentum effects appropriately. Consistent with Daniel et al. (1997), Elton et al. (2012), and others, we find no evidence of significant characteristic-timing skill in aggregate. We disaggregate overall characteristic-timing performance into its buying and selling components. On average, fund managers seem to earn positive characteristic-timing returns from their buying activities consistent with skill in this domain. However, fund managers exhibit a striking ability to sell stocks at the wrong time: their selling decisions are subsequently associated with negative characteristic-timing performance.