基于三期模型框架的噪音交易和有限套利条件下的基金经理投资行为研究

笔者利用三期模型框架,考虑噪音交易和有限套利两个约束条件,构建噪音交易者、基金投资者和长短期套利基金的投资行为模型,分析长、短期套利基金的投资业绩及其差异。研究发现:无论第2期后市场悲观情绪更加恶化或得到改善,短期套利基金的投资行为对基金投资者都是有害的;长期套利基金由于追求长期收益最大化,对基金投资者是有益的;基金投资者可以根据基金经理在第1期的投资行为及其仓位,识别是短期套利基金还是长期套利基金。

An Analysis on Behavior of Fund Manager under Three Periods Model Based on Noise trade and Limited Arbitrage

In terms of two constraints(noise trade and limited arbitrage),this paper structures a model based on the three periods framework used by Shleifer and Vishny(1997),to analyzes the behavior difference between the fund managers who have different expected horizons.The results argue that no matter wether investor sentiment runs downward or upward,the behavior of short run fund manager is harmful to fund investors,while the behavior of long run fund manager is benefit for fund investors due to the long run expectation;fund investors can identify the expectation horizon from the behavior and position in period 1 of fund managers..