Skewness Consequences of Seeking Alpha
研究发现，共同基金在追求阿尔法的过程中会产生不良的协偏度，即与市场择时相关的积极管理措施带来不良协偏度，而选股相关措施则相反，且资金流向具有良好协偏度的基金。
Mutual funds seek alpha, but coskewness is also an important performance attribute. Coskewness of fund returns is associated with market timing, liquidity management, and derivative use. Measures of active management associated with positive alphas are also associated with undesirable coskewness. When controlling for other characteristics, coskewness is positively associated with activity measures related to market timing and negatively associated with activity measures related to stock picking. In the cross-section of funds, the latter effect dominates, so funds generate undesirable coskewness in the pursuit of alpha. Money flows to funds with desirable coskewness. Received October 25, 2016; editorial decision January 29, 2018 by Editor Stijn Van Nieuwerburgh. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web Site next to the link to the final published paper online.