摘要
以2002年12月至2007年11月间投资国内股市的基金为样本,采用Jegadeesh和Titman构造赢者组合和输者组合的策略,研究了我国基金业绩持续性。研究发现业绩在一年内存在持续性但持续性会随时间递减,而超额利润来源于持有高风险的股票和对市场信息的反应时滞。说明中国基金市场不是弱式有效市场,应采用四因素模型评价基金业绩。
Using the sample of mutual funds from December 2002 to November 2007, this article constructs winners＇ and losers＇ portfolio of Jegadeesh and Titman to do persistence analysis. We find that there is dissipating persistence of mutual fund in China. And the excess profit of relative strength strategy is due to their high systematic-risk and delayed price reactions to information. It is suggested that mutual fund market is not a weak-form efficient market, and four-factor model is a better choice of evaluating the performance of mutual funds.
出处
《北京机械工业学院学报》
2008年第4期65-70,共6页
Journal of Beijing Institute of Machinery
基金
教育部"211"项目(e11009)
关键词
基金业绩
动量势能
持续性
有效市场
mutual fund performance
momentum effect
persistence
efficient market
