业绩约束的有限套利:模型拓展与实证检验

通过引入套利者基于风险厌恶的资产配置决策．本文对Shleifer和Vishny（1997）的业绩约束的有限套利（PBA）模型作了扩展。本文的理论模型表明业绩约束的套利者的套利能力所受到的限制远超过SV模型的推断。业绩约束的有限套利从两个角度对套利者的套利能力做了限制：业绩不佳，既使得最终投资者减少对套利者的投资资金。也导致套利者预留更多的现金来满足流动性需求，从而套利者可运用到风险资产上的套利资源减少。利用中国开放式基金数据．本文对这个拓展模型做了实证检验。结果显示。套利者在实际投资中存在着基于风险厌恶的资产配置决策，业绩约束的套利者的套利能力的限制是现实存在的。

Performance-based Arbitrage: Model Extension and Evidence From Chinese Stock Market

This study extends the model of Shleifer and Vishny (1997) by incorporating arbitrageurs' risk aversion-based portfolio allocation decision. Our model demonstrates that performance-based arbitrage is more limited than that proposed by Shleifer and Vishny. Our model suggests that performance-based arbitrage limit arbitrageurs' ability from two sides. The first one is that arbitrageurs' poor past performance decreases their available investment resources provided by final investors. The second one is that arbitrageurs' poor past performance makes them more risk averse, and then increases their cash holdings in order to deal with final investors' refund demand and then decreases their available investment resources for risk assets. The empirical evidence from Chinese open-end fund data supports our theoretical model. The empirical results provide evidence on the existence of performance-based arbitrage.