摘要
本論文統整基金相關文獻。指數型基金讓成份股共同漲跌，且增加了波動性。他們短期能增加低流動性股票的價格效率，但長期會使股票價格效率降低。避險基金像是共同基金的加強版，他們有更好的報酬，更少的政府規範，吸引頂尖的基金人才。大部分避險基金表現反週期行為，而大多共同基金因須保持流動性，表現動量行為。雖然平均而言基金沒有帶來超額報酬，但基金表現出不同的能力指標。我討論了有能力的基金的特徵，以及他們在景氣循環中不同的行為。資訊對基金產業是非常重要的，學習學術界資訊和反應時間短的能夠獲利。有不少文獻討論基金透過借貸資訊、公司內部人員、關說團體獲得外洩的資訊。在基金經理人層面，有能力的經理人大多畢業於好的大學，擁有理工背景並有個勇敢的個性。雖然他們沒有如零售投資人的注意力購買行為，但他們仍有有限的注意力。他們會被密集的營收報告、自己結婚、離婚、甚至當地天氣影響。機構投資人和零售投資人的行為偏誤，讓基金有機會利用，產生代理人問題。零售投資人的行為偏誤可能來自於智商和基因，但經由財經教育，可以減少行為偏誤。對機構投資人，他們的借貸資訊和交易資訊可能被基金所利用。最後，討論現代的基金趨勢。量化基金雖然跟傳統基金沒有明顯的報酬差異，但他們對於風險因子的曝險較少。單日文字情感分析對接下來兩日報酬有影響，而負面情緒的影響持續較正面的久。高頻交易的利潤與相對反應延遲有關係，所以這幾年速度競爭越來越激烈，造成高的進入障礙。
並列摘要
This article review literature about the fund industry. Exchange-Traded Funds (ETFs) make the constituent stocks comove more and introduce new volatility. They increase price efficiency for illiquid stocks in the short run, but lower price efficiency in the long run. Hedge funds are like “mutual fund on steroid”, they have better performance, less regulation, and attract talented managers. Most hedge funds act contrarian compare to the most of mutual funds fit momentum trading because of liquidity requirements. Than discuss on average lack of alpha of funds, the skill difference persists among the funds, the characteristic of skilled funds, and how skilled funds act differently in the booming and recession. Information is the key to performance. Investors who fully utilize academy research and better reaction speed will bring a better return. There is possible information leakage. They may through the linkage of loan information, corporate insiders, and lobbyists. At the manager level, the good funds’ managers may graduate from a good university, have a STEM degree, and maybe a brave personality. But they do have limited attention that can be distracted by multiple earning announcement, their marriage, and divorce, even influence by local weather. The behavioral biases of retail and institutional investors are different and can be exploited by funds, create agency problems. The behavioral bias for retail investors may root from IQ and genes but can be reduced by financial education. For institutional investors, the loan information and trading information can be exploited by funds. Last, the modern trend of funds. Though quant funds do not perform differently from traditional funds, they have a lesser exposure to risk factors. The daily sentiment has two days of momentum, negative sentiment persists longer than positive sentiment. The profit of the HFT industry links to relative latency, thus have a brutal latency war over the years and have a high entry barrier.
參考文獻
延伸閱讀
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