基金绩效评价的Fama-French三因素模型检验
发布时间：2018-07-26 09:01
【摘要】：通过Sharpe基金风格模型明确基金实际风格,并利用中信风格指数将Fama-French"三因素"模型应用于基金的绩效评价。在对30只基金两年周收益率数据进行实证研究后,结果显示FF模型3个系数显著性良好,基金风格特征得以表现;且FF模型更加准确,拟合程度较单因素模型有较大提高;同时单因素和FF"三因素"模型的Jenson指数说明基金具有获得超额收益率的能力。
[Abstract]:The actual style of the fund is defined by the Sharpe fund style model, and the Fama-French "three factors" model is applied to the performance evaluation of the fund by using the CITIC style index. After the empirical study on the data of the two year weekly rate of return of 30 funds, the results show that the FF model has significant three coefficients, and the fund style features can be shown, and FF model is more accurate, and the fitting degree is much higher than that of the single factor model. At the same time, the Jenson index of single factor and FF's "three factors" model shows that the fund has the ability to obtain excess rate of return.
【作者单位】： 华南师范大学经济管理学院;
【分类号】：F224;F832.51
[Abstract]:The actual style of the fund is defined by the Sharpe fund style model, and the Fama-French "three factors" model is applied to the performance evaluation of the fund by using the CITIC style index. After the empirical study on the data of the two year weekly rate of return of 30 funds, the results show that the FF model has significant three coefficients, and the fund style features can be shown, and FF model is more accurate, and the fitting degree is much higher than that of the single factor model. At the same time, the Jenson index of single factor and FF's "three factors" model shows that the fund has the ability to obtain excess rate of return.
【作者单位】： 华南师范大学经济管理学院;
【分类号】：F224;F832.51
【参考文献】
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