The Performance of Corporate Bond Mutual Funds: Evidence Based on Security-Level Holdings
首次利用证券层面的持有数据和回报，分析公司债券共同基金的业绩，发现债券基金经理平均不具备选券能力，但有一定时机选择能力，且主动管理成本超过收益。
Abstract This is the first study of corporate bond mutual fund performance that examines detailed security-level holdings and returns. The new database allows us to decompose the costs and benefits of active management. In contrast to prior research on equity funds that shows evidence of stock-selection ability, we do not find evidence consistent with bond fund managers, on average, being able to select corporate bonds that outperform other bonds with similar characteristics. We find neutral to weakly positive evidence of ability to time corporate bond characteristics. Overall results show that the costs of active management on average appear larger than the benefits.