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中国开放式基金风格择时能力的实证研究 被引量：6

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摘要 文章采用中国2004年之前成立的52只开放式基金在2004～2007年月度数据,从市场择时、小盘/大盘、价值/成长三种风格层面对基金的风格择时能力进行实证研究。结果发现基金总体上没有显著的小盘/大盘风格择时能力,大部分基金具有一定的价值/成长的风格择时能力,但不显著;大部分基金具有显著的择时能力。
作者 郭文伟 宋光辉 许林 柴曼昕
机构地区 华南理工大学工商管理学院
出处 《统计与决策》 CSSCI 北大核心 2010年第8期134-136,共3页 Statistics & Decision
基金 国家自然科学基金项目(70571069) 教育部人文社会科学研究项目(07JA630017)
关键词 开放式基金 投资风格 风格择时
分类号 F832.84 [经济管理—金融学]
  • 相关文献

参考文献16

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二级参考文献30

  • 1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..
  • 2Abrevaya, Jason and Wei Jiang(姜纬), 2003,"Pair-wise-slopes Statistics for Testing Curvature", Working Pa-per.
  • 3Admati, Anat R., Sudipto Bhat-tacharya, Paul Pfleiderer and Stephen A.Ross,1986,"On Timing and Selectivity",Journal of Finance 41,715-730.
  • 4Fama, E. and K. French, 1993,"Common Risk Factors in the Returns on Stocks and Bonds'journal of Financial Economics 33, 3-56.
  • 5Grinblatt,Mark and Sheridan Tit-man,1989b,"Portfolio Performance Eval-uation:Old Issues and New Insights",Re-view of Financial Studies 2, 393-421.
  • 6Henriksson, Roy D.,1984,"Mar-ket Timing and Investment Performance:An Empirical Investigation", Journal of Business 57, 73~96.
  • 7Henriksson, Roy D. and Robert C. Merton,1981,"On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills'journal of Business 54, 513-533.
  • 8Ippolito, Richard A., 1993,"On Studies of Mutual Fund Performance,1962 ~1991",Financial Analysts Journal Jan/Feb93,42-50.
  • 9Jiang,Wei(姜纬）, 2003, "A Non-parametric Test of Market Timing",Jour-hal of Empirical Finance vol. 10(4), 399-425.
  • 10Merton, Robert C., 1981, "On Market Timing and Investment Perfor-mance. I: An Equilibrium Theory of Val-ue for Market Forecasts",Journal of Business 54, 363-406.

共引文献280

同被引文献70

引证文献6

二级引证文献21

统计与决策
2010年 第8期

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