基于六因素模型的对冲基金收益研究  

On Excess Returns of Hedge Funds Based on Six-factor Model

作　　者：邹薇[1] 卢萍[2] 

机构地区：[1]湘潭大学商学院,湖南湘潭411105 [2]华夏银行北沙滩支行 湖南湘潭,北京100015

出　　处：《湘潭大学学报（哲学社会科学版）》2008年第3期59-63,共5页Journal of Xiangtan University:Philosophy And Social Sciences

基　　金：湘潭大学跨学科星火研究项目(项目编号:0509026)

摘　　要：对冲基金一直以其高收益而著称。与共同基金相比,对冲基金确实具有更高的收益。通过六因素模型分析显示,在样本空间内,相当大比例的对冲基金会有超额收益,但收益的规模和发生的频率因对冲基金投资模式不同而大相径庭。同时,进一步的回归分析显示,对冲基金的业绩总是与其支付给基金经理的激励费正相关:激励费越高,基金的业绩就越好。Hedge Funds are famous for their high returns, and they really gain higher returns than mutual funds.We find that most hedge funds earn positive excess returns by analysis of Six-factor Model and that the frequency and magnitude of fund s excess returns differ markedly with investment style.We still find that hedge funds that pay managers higher incentive fees also have higher excess returns.

关 键 词：对冲基金 超额收益 六因素模型 激励费 

分 类 号：F83[经济管理—金融学]