为什么投资者购买积极管理的股票共同基金？从不知情投资者的角度考虑正确的参考投资组合1，2
Why do investors buy shares of actively managed equity mutual funds? Considering the Correct Reference Portfolio from an Uninformed Investor's Perspective 1, 2
摘要：
本文利用Grossman \& Stiglitz（1980）的投资组合理论框架，为不知情的投资者构建了一个参考投资组合，并利用该投资组合对积极管理的股票型共同基金的业绩进行了评估。我们提出了一个实证方法来构建这个参考投资组合使用的价格和供应的信息。我们发现，共同基金提供，平均而言，一个微不足道的阿尔法23个基点，每年考虑这个投资组合作为参考。以股票市场指数作为市场投资组合的代表，平均基金阿尔法为负，非常显著，每年128个基点。当考虑基于其特征和选择性程度的各种基金子集时，结果是稳健的。与考虑非对称知情投资者和部分揭示均衡价格的合理预期均衡模型一致，我们的研究支持主动管理为统一投资者增加价值。
英文摘要：
We use the Grossman \& Stiglitz (1980) framework to build a reference portfolio for uninformed investors and employ this portfolio to assess the performance of actively managed equity mutual funds. We propose an empirical methodology to construct this reference portfolio using the information on prices and supply. We show that mutual funds provide, on average, an insignificant alpha of 23 basis points per year when considering this portfolio as a reference. With the stock market index as a proxy for the market portfolio, the average fund alpha is negative and highly significant, --128 basis points per year. The results are robust when considering various subsets of funds based on their characteristics and their degree of selectivity. In line with rational expectations equilibrium models considering asymmetrically informed investors and partially revealing equilibrium prices, our study supports that active management adds value for uniformed investors.
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