考虑协偏度的基金业绩评价研究OA

Coskewness measures an asset's contribution to market tail risk,representing an important systematic risk and a crucial variable in asset pricing.In fund management,fund managers can bear the coskewness risk by investing in negative coskewness assets,and then obtain a coskewness risk premium.To this end,it is necessary to distinguish the covariance risk premium from the fund's Alpha returns when evaluating fund performance to avoid misjudging the fund manager's ability to obtain excess returns.This paper constructs a forward-looking coskewness factor that captures future coskewness risk,introduces it into traditional multi-factor models,and examines the impact of coskewness on fund performance based on a sample of Chinese open-end equity funds from 2004 to 2023.The results show that:(1)The forward-looking coskewness factor has significant explanatory power for fund returns.Taking the Fama-French five-factor model as an example,the coskewness factor's explanatory power for fund returns ranks only after the market factor and value factor.(2)Value funds avoid coskewness risk and receive performance rewards after considering coskewness factors,with significantly improved fund performance;small-and mid-cap funds bear more coskewness risk and receive performance penalties after considering coskewness factors,with significantly deteriorated fund performance.(3)Funds'coskewness strategies exhibit persistence,with funds that previously bore greater coskewness risk continuing to bear greater coskewness risk in subsequent periods.(4)Funds with higher coskewness risk tend to be younger,charge higher management fees,hold less liquid assets,and have lower institutional investor ownership ratios.This paper extends research on fund performance evaluation and provides reference for fund companies to construct more scientific evaluation systems and for investors to make rational investment decisions.