开放式基金收益与非系统风险定价

Open-End Fund Returns and Pricing of Idiosyncratic Risk

本文研究开放式基金投资组合中非系统风险的分散化程度,以及非系统风险与基金收益率之间的关系。结果表明,在开放式基金投资组合中,非系统风险没有被充分分散化,非系统风险对基金超额收益率具有显著的正效应。这些发现对不同的资产定价模型和不同的市场环境结论稳健。这些结果表明,开放式基金投资组合中没有被分散化的非系统风险被定价,开放式基金通过承担非系统风险获得收益补偿。研究结论为开放式基金管理者如何构造投资组合提供了理论基础和实证依据。

The paper investigates the degree to which the open-end funds are diversified, and examines the relation between undiversified idiosyncratic risk and average fund return. Main findings can be summarized as follows ： The average domestic funds are substantially undiversified. A significant positive relation between idiosyncratic risk and fund excess return is found. These results are robust to measures of idiosyncratic risk with different asset pricing models and different market environments. The evidence shows that undiversified idiosyncratic risk is priced. The open-end fund investors get high return as compensation for idiosyncratic risk. The evidence can be used as theoretical basis and practical guidance for fund portfolio construction.