摘要
针对时间序列回归方法对Carhart四因素模型参数估计不够精确的缺陷,提出一种利用改进的遗传算法来优化四因素模型参数的方法,获得了更为精确的模型.基于此模型,以2003年1月至2007年9月我国开放式基金月度数据为样本,对我国开放式基金市场的价值溢价进行了深入研究.实证结果表明:我国开放式基金市场存在明显的价值溢价,并且高市值基金价值溢价比低市值基金更为显著,但开放式基金市场整体价值投资理念尚未真正形成.
Due to the limitation of time-series regression method in parameters estimation of Carhart＇s four-factor model,a new method,modified Genetic Algorithm,is adopted to optimize the parameters of four-factor model and a more precise model is obtained.Based on this model,the value premium of China open-end fund market is investigated by sampling monthly data of open-end fund for the period from January 2003 to September 2007.The empirical results show that the value premium is substantial in China open-end fund market and the value premium of high market value fund is more significant than that of low market value fund,but value investment concept has not been formed completely in China open-end fund market.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2009年第11期67-75,共9页
Systems Engineering-Theory & Practice
