MANAGEMENT SCIENCE · VOL. 61, NO. 10 · OCTOBER 2015

对冲基金的基金之价值：来自其持有的证据

作者：Adam L. Aiken (Quinnipiac University- School of Business and Engineering), Christopher P. Clifford (University of Kentucky- Gatton College of Business and Economics), Jesse Ellis (North Carolina State University- Poole College of Management)

摘要：我们研究对冲基金的基金（FoFs）的投资组合以确定FoFs为客户增加价值的渠道。FoFs提供多样化的基金组合，这样多样化的投资组合对受限制的投资者来说自己管理将是昂贵的。虽然我们只发现有限的证据表明FoFs在选择对冲基金时表现优异，但我们发现强有力的证据表明FoFs能够做出优异的终止决策。把FoFs从对冲基金除去后，这些对冲基金随后表现不佳，失败的频率也更高。证据表明，在FoFs成为投资者之后，它们学习并熟练地处理其投资组合基金的信息，使它们能够预测未来的表现不佳。我们的研究显示，FoFs在以显著摩擦和交易成本为特征的市场中扮演中介的重要角色。

关键词：投资；金融机构；市场；融资

The Value of Funds of Hedge Funds: Evidence from Their Holdings

Adam L. Aiken (Quinnipiac University- School of Business and Engineering), Christopher P. Clifford (University of Kentucky- Gatton College of Business and Economics), Jesse Ellis (North Carolina State University- Poole College of Management)

ABSTRACT

We examine the portfolio holdings of funds of hedge funds (FoFs) to identify the channels through which FoFs add value for their clients. FoFs offer access to a diversified portfolio of funds that would be costly for constrained investors to manage on their own. Although we find only limited evidence that FoFs exhibit skill when selecting hedge funds, we find strong evidence that FoFs make skillful termination decisions. After FoFs divest from a hedge fund, those hedge funds subsequently underperform and fail more often. Our evidence indicates that FoFs learn and skillfully process information about their portfolio funds after they become investors, enabling them to forecast poor future performance. Our study suggests that FoFs serve an important role as intermediaries in a market characterized by significant frictions and transactions costs.

Keywords: investment; financial institutions; markets; finance

原文链接：http://xueshu.baidu.com/s?wd=paperuri%3A%28d31cbfcbd201100d1b88416f5461a726%29&filter=sc_long_sign&tn=SE_xueshusource_2kduw22v&sc_vurl=http%3A%2F%2Fpapers.ssrn.com%2Fsol3%2Fpapers.cfm%3Fabstract_id%3D2465441&ie=utf-8&sc_us=14687295528090195509

翻译：景薇