Financial Analysts Journal·VOL68,NO. 6·November/December 2012

共同基金的流動性風格

作者：Thomas M. Idzorek, James X. Xiong (Morningstar Investment Management), Roger G. Ibbotson (Yale School of Management)

摘要：最近文獻研究表明，一種投資于流動性較差股票的流動性投資風格（liquidity investment style）可以産生相對于規模投資和價值投資的超額收益。不同于以往僅針對證券層面的研究，本文作者檢驗了這種投資風格是否可以應用于共同基金層面。通過對種類廣泛的共同基金研究，他們發現平均程度上，持有低流動性股票的共同基金的表現要顯著優于持有高流動性股票的共同基金。

The Liquidity Style of Mutual Funds

Thomas M. Idzorek, James X. Xiong(Morningstar Investment Management), and Roger G. Ibbotson(Yale School of Management).

ABSTRACT

Recent literature indicates that a liquidity investment style—the process of investing in less liquid stocks—has led to excess returns relative to size and value. The authors examined whether this style, previously documented at the security level, can be uncovered at the mutual fund level. Across a wide range of mutual fund categories, they found that, on average, mutual funds that held less liquid stocks significantly outperformed those that held more liquid stocks.

原文鍊接：

http://dx.doi.org/10.2469/faj.v68.n6.3

翻譯：王冰倫