摘要
运用面板模型,将交易策略指标纳入Sharpe指数多因素门限模型,分别考察在前期Sharpe指数为正和为负的情况下,惯性和反转交易策略对基金绩效的影响。对2006年第一季度至2010年第三季度中国开放式基金面板数据的分析表明:惯性策略在总体上会对投资绩效产生负面影响,而反转交易策略对投资绩效的影响则始终是不显著的。
In this paper,trading strategy indices are introduced into the multi-factor threshold model of Sharpe index to investigate how trading strategies of open-end fund influence its current performance when previous Sharpe index is positive and negative respectively.The analysis of panel data of open-end funds from the first quarter of 2006 to the third quarter of 2010 shows that momentum strategy generally exerts negative influence on performance,while contrarian strategy has no significant influence on performance.
出处
《财贸研究》
CSSCI
2011年第5期93-98,108,共7页
Finance and Trade Research
基金
国家自然科学基金项目"不完美市场中的基金契约--投资者非理性和市场非充分竞争下的连续时间契约模型"(批准号:71171118)的资助
关键词
惯性策略
反转策略
投资绩效
momentum strategy
contrarian strategy
investment performance
