基于APB因子的开放式基金业绩评价研究
发布时间:2018-04-04 22:16
本文选题:开放式基金 切入点:风格趋同化 出处:《当代财经》2017年08期
【摘要】:在中国开放式基金市场上,业绩比较基准选取不当会给投资者带来误导,同时中国基金市场投资风格趋同化使得投资者难以鉴别基金业绩的优劣。采用2004年至2015年的月度样本数据,通过构建主动型业绩比较基准组合(APB组合),将其作为描述基金风格的新基准,同时运用各APB组合构建APB因子,并加入到传统的三因子模型中,研究发现:该模型可有效控制基金投资风格趋同化带来的影响,还可提高投资者鉴别基金业绩优劣的能力;此外,加入APB因子的三因子模型产生的基金收益具有较强的持续性,对于改进现有基金业绩评价方法具有重要的参考价值。
[Abstract]:In the China open-end fund market, the performance benchmark selection improper to mislead investors, at the same time China fund market investment style convergence allows investors to distinguish the pros and cons of fund performance. The monthly sample data by 2004 to 2015, through the construction of active performance benchmark portfolio (APB group), as the new reference description the style of the fund, while the use of APB to construct the APB factor combination, and added to the three factor model, the results showed that the effect of this model can effectively control the fund investment style convergence brings, but also can improve the ability of investors to identify the fund performance; in addition, three factor APB model with factor income fund with strong persistence, it has important reference value for the improvement of the existing evaluation methods of fund performance.
【作者单位】: 江西财经大学金融管理国际研究院;江西财经大学金融学院;
【基金】:国家自然科学基金项目(71363018) 江西省高校人文社会科学重点研究基地研究项目(JD1561) 江西财经大学金融管理国际研究院“启明星研究生培养项目”
【分类号】:F832.51
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本文编号:1711933
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