利率对美国共同基金业绩影响的估计

Q3 Economics, Econometrics and Finance Applied Econometrics Pub Date : 2020-01-01 DOI:10.22394/1993-7601-2020-58-55-75

N. Artamonov, A. Voronina, N. Emelyanov, A. Kurbatskiĭ

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引用次数: 2

摘要

本文考察了美国国债收益率对共同基金相对于各自基准收益率的影响。样本包括376家美国基金在2006年至2017年12年间的观察结果，使用的数据来自彭博社和高度专业化的CRSP数据库。构建具有固定个体效应的面板数据模型，其因变量为所谓的跟踪误差，即基金收益与基准收益之差。解释变量是一些微观变量和政府债券收益率。事实证明，美国政府债券的收益率是共同基金“alpha”的一个重要因素，在实践中，这应该使它们能够对冲表现不佳的风险。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Estimation of interest rates’ impact on mutual funds’ performance in the USA

The article examines the impact of US government Treasury bonds yield on the return of mutual funds relative to the respective benchmark. The sample includes 376 American funds over 12 years of observations from 2006 to 2017 using data from Bloomberg and the highly specialized CRSP database. Panel data model with fixed individual effects was constructed in which the dependent variable is the so-called tracking error, obtained as the difference between the return of the Fund and the return of the benchmark. The explanatory variables are a number of micro-variables and the yield of government bonds. It turns out that the yield of US government bonds is a significant factor for the mutual funds “alpha”, which in practice should allow them to hedge against the risk of underperformance.

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来源期刊

Applied Econometrics Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.