Skewness Consequences of Seeking Alpha

• 成果类型: Article
• 署名作者: Back, Kerry; Crane, Alan D.; Crotty, Kevin
• 署名单位: Rice University; Rice University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy029
• 发表日期: 2018
• 页码: 4720
• 关键词: MUTUAL FUND PERFORMANCE; TIMING ABILITY; cross-section; MARKET; RISK; time; preference; MANAGER; COSKEWNESS; industry

摘要

Mutual funds seek alpha, but coskewness is also an important performance attribute. Coskewness of fund returns is associated with market timing, liquidity management, and derivative use. Measures of active management associated with positive alphas are also associated with undesirable coskewness. When controlling for other characteristics, coskewness is positively associated with activity measures related to market timing and negatively associated with activity measures related to stock picking. In the cross-section of funds, the latter effect dominates, so funds generate undesirable coskewness in the pursuit of alpha. Money flows to funds with desirable coskewness.