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我国混合型基金的投资绩效研究——兼论Carhart四因素模型在中国的适用性 被引量:3

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摘要 自Carhart(1997)首次将动量效应添加到Fama-French的三因素定价模型中,针对四因素模型的实证分析就层出不穷。依据四因素定价模型,本文对我国混合型开放式基金的投资绩效进行实证分析,分析结果表明基于四因素模型的基金绩效评价体系优于基于绝对收益率排名,但其在中国的适用性不强。
作者 程刚 张孝岩
出处 《中国物价》 2010年第6期49-51,共3页 China Price
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参考文献4

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  • 4范龙振,余世典.中国股票市场的三因子模型[J].系统工程学报,2002,17(6):537-546. 被引量:73

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