融资融券和股指期货催生了中国真正的“对冲基金”吗?——来自“阳光私募”基金的证据  

Do Margin Trading &Short Selling and Index Futures Give Birth to Real Hedge Funds in China? Evidence from Sunshine Private Funds

作　　者：陈道轮[1,2] 陈强[3] 徐信喆[1] 陈欣[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052 [2]普渡大学克兰纳特管理学院,美国印第安纳州西拉法叶47906 [3]上海财经大学经济学院,上海200433

出　　处：《财经研究》2014年第9期73-85,共13页Journal of Finance and Economics

基　　金：2012年中国国家留学基金项目(留金发[2012]3013号);上海交通大学文科创新基金的资助

摘　　要：文章对比考察了融资融券和股指期货推出后出现的三种新型阳光私募与传统的股票策略阳光私募、共同基金和市场指数的绩效表现。研究发现:(1)相对价值和债券策略阳光私募明显优于传统投资工具和市场指数。前者具有"低风险-高收益"的良好性质,其表现尤为突出。(2)尽管事件驱动阳光私募具有较高风险,但是其收益指标优于传统投资工具和市场指数。(3)传统因子模型无法解释相对价值和债券策略阳光私募的绩效表现。文章研究表明,中国已经出现真正的"对冲基金"。This paper compares the performance between three new types of sunshine private funds after the launch of margin trading ＆short selling and index futures and tra- ditional equity-oriented sunshine private funds, mutual funds and market indexes. It comes to the conclusions as follows： firstly, relative-value and bond-oriented sunshine private funds obviously perform better than traditional investment tools and market indexes, and the former is particularly featured by low risk and high returns; secondly, event-driven sunshine private funds have higher risks, but their performance indexes are better than traditional investment tools and market indexes; thirdly, traditional factor models cannot explain the performance of relative-value and bond-oriented sunshine private funds. It indicates the emergence of real hedge funds in China.

关 键 词：融资融券 股指期货 对冲基金 阳光私募 

分 类 号：F832.39[经济管理—金融学] F832.48