证券市场导报Issue(1)：56-69,14.
考虑协偏度的基金业绩评价研究
摘要
Abstract
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.关键词
协偏度/权益型基金/基金业绩/因子模型Key words
coskewness/equity funds/fund performance/factor models分类
管理科学引用本文复制引用
王鹏,陈琪,梁鑫垚..考虑协偏度的基金业绩评价研究[J].证券市场导报,2026,(1):56-69,14.基金项目
教育部人文社会科学研究一般项目"基于非均衡SVM智能方法的金融市场风险预警模型及其应用研究"(项目编号:21YJC790115)、中央高校基本科研业务费专项资金资助项目"宏观金融安全分析及预警"(项目编号:JBK1805003)、四川省自然科学基金青年科学基金项目"气候灾害冲击对银行业系统性风险的影响研究——基于风险溢出网络视角"(项目编号:2025NSFSC1959) （项目编号:21YJC790115）
