资产配置对基金收益率的贡献度分析——来自中国市场的经验数据被引量：12

下载PDF

导出

摘要本文对中国证券市场中的股票型基金在2000-2004年业绩中的资产配置贡献度作了分析。结果显示,资产配置贡献度对股票型基金收益率在时间序列上的解释程度为80%左右,在横截面上的解释程度为7%左右。市场选时决策对基金业绩分化的影响并不显著。

作者王征

机构地区中信基金管理公司

出处《经济科学》 CSSCI 北大核心 2005年第5期80-88,共9页 Economic Science

基金国家社会科学基金项目"行为金融研究及其对中国证券市场的考察"(批准号03BJY105)研究成果之一。

关键词资产配置基金收益率证券市场中国股票型基金市场选时决策

参考文献9

1沈维涛,黄兴孪.我国证券投资基金业绩的实证研究与评价[J].经济研究,2001,36(9):22-30. 被引量：256
2汪光成.基金的市场时机把握能力研究[J].经济研究,2002,37(1):48-55. 被引量：152
3张新,杜书明.中国证券投资基金能否战胜市场?[J].金融研究,2002(1):1-22. 被引量：152
4Brinson, G.. P. , L. R. Hood & G.. L. Beebower, Determinants of Portfolio Performance, Financial Analysts Journal, July/Aug 1986, pp. 39-48.
5Brinson, G. P. , B.D. Singer &G.L. Beebower, Determinants of Portfolio Performance II: An Update,Financial Analysts Journal May/June 1991, pp. 40-48.
6Ibbotson, R. G..Kaplan P.D. Kaplan, Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?, Financial Analysts Journal, Jan/Feb 2000, pp. 26-33.
7Treynor, J.L. & K. Mazuy, 1966, Can mutual funds outguess the market? Harvard Business Revew 44,pp131-136.
8Henriksson, R.D. , 1984, Market timing and mutual fund performance: An empirical investigation, Journal of Business 57:pp73-96.
9Graham, J.R. & C.R. Harvey, 1996, Market timing ability and volatility implied in investment newsletters' asset allocation recommendation, Journal of Financial Economics pp 42, 397-421.

1威廉·F·夏普赵锡军等（译）.投资学（第五版）[M].中国人民大学出版社,1998..
2杜书明中国银河证券公司.《对基金净值数据的修正性计算及中国证券投资基金业绩的初步考察》.《证券投资基金研究报告》[M].,2001,6..
3万朝领等．2001.《证券投资基金的评估与绩效研究》.《中国证券报》,8月21日.
4Chang,Eric,And Lewellen,W.1984."Market Timing and Mutual Fund Investment Performance",Journal of Business,vol.57,57-72.
5Fama,E.1972."Components of Investment Performance",Journal of Finance 27,551-567.
6Fama,E.French,K.1993."Common Risk Factors in the Returns on Stock and Bonds",Journal of Financial Economics 33,3-56.
7Goetzmann ,W.Ingersoll,J.and Ivkovic,Z.2000."Monthly Measurement of Daily Timers",Journal of Financial and Quantitative Analysis 35,257-290.
8Henriksson,Roy D.and Mertoo,R.1981."On Market Timing and Investment Performance Ⅱ:Statistical Procedures for Evalusting Forecastiog Skills",Journal of Business,54,513-533.
9Henriksson,Roy D.1984,"Market Timing and Mutual Fund Performance:An Empirical Investigation",Journal of Business ,57,73-96.
10Merton,R.1981."On Market Timing and Investment PerformanceⅠ:An Equilibrium Theory of Value for Market Forecasts",Journal of Business 54,363-406.