一种分散投资风险的创新股票指数

发布时间：2018-03-04 09:07

本文选题：创新指数　切入点：投资组合　出处：《银行家》2014年04期 　论文类型：期刊论文

【摘要】：正创新贝塔股票指数的兴起当前,指数投资模式愈加受到全球大型机构投资人的青睐,其中,市值型指数由于具有高投资容量,投资具代表性、透明度、低周转率和低交易成本等众多优点,已被实务界广泛采用。据统计,现阶段全球采用市值型指数进行管理的资产已经超过6万亿美元以上。然而,市值型指数的投资效率一直受到人们的质疑。豪根和海因斯(1972)发现低波动的股票具有较高的报酬;巴苏(1983)指出价值型股票投资组合的绩效可以胜过市值型指数。真正引起投资者重视市值型指数缺陷的是2000年的网络科技泡沫事件。许多投资者在泡沫破灭后发现市值型指数存在迫涨杀跌的现象。例如当思科的股价一路冲高,成为美国市值最大的公司时,其在标普500指数(英文简称SP 500 Index)中占的比重也迅速攀升,成为占比最大的股票。尽管投资人发现了思科和
[Abstract]:The rise of the positive Innovation Beta Stock Index at present, the investment mode of the index is increasingly favored by large institutional investors around the world. Among them, the market value type index is characterized by its high investment capacity, representativeness and transparency. Many advantages, such as low turnover rate and low transaction cost, have been widely used in the field of practice. According to statistics, the assets managed by market value index in the world have exceeded 6 trillion US dollars at this stage. However, The investment efficiency of market value index has always been questioned by people. Haogan and Heinsberg found that stocks with low volatility have higher returns; Basu (1983) points out that the performance of value stock portfolio can outperform market value index. What really caused investors to pay attention to the defect of market value index was the dotcom bubble in 2000. Many investors found that after the bubble burst, it was the Internet technology bubble that caused investors to pay attention to it. Market value index has the phenomenon of forced rise and fall. For example, when Cisco's share price went up all the way, When market value became the largest company in the United States, its share of the S & P 500 Index also rose rapidly, becoming the largest share of stocks.
【作者单位】：中国社会科学院投融资研究中心;
【分类号】：F830.91

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