我国开放式基金业绩持续性的实证检验被引量：22

Performance Persistence of Openend Funds in China

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摘要本文运用绩效二分法和横截面回归方法对我国开放式基金的业绩持续性进行了检验。实证结果发现,我国开放式基金从总体上看业绩持续性不强,业绩持续性只是在短期内出现,基金经理不能连续战胜市场。此外,开放式基金在短期内还有显著的业绩反转现象产生,说明很难根据基金过去的收益来判断其未来的业绩。 The writer of this paper present an evaluation of the performance persistence of openend funds in China by the use of performance separation method and crosssectional regression method. The result shows that the openend funds do not exhibit strong performance persistence as a whole, that persistence only exits on a shortterm basis, and that the funds can not overcome the market consistently. Meanwhile, the funds exhibit a significant performance reverse in a shortterm, which means it is difficult to predict the performance of the fund in the future according to their performance in the past.

作者肖奎喜杨义群

机构地区浙江大学管理学院

出处《财贸研究》北大核心 2005年第2期55-59,共5页 Finance and Trade Research

基金国家自然科学基金项目(批准号: 70373024)

关键词业绩持续性开放式基金实证检验回归方法基金经理横截面二分法短期绩效市场收益 openend funds performance persistence Chisquare crosssectional regression

分类号 F830.91 [经济管理—金融学] F832.5 [经济管理—金融学]

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参考文献11

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