摘要
本文研究我国股票型、偏股型开放式基金的评级与未来业绩的关系。根据晨星公司的基金评级数据,每月构造1星级至5星级的基金投资组合,并采用Carhart四因子模型对组合收益进行风险调整,研究发现5星级基金每年能获得2%的超额收益率,5星级与1星级基金的套利组合年超额收益为6%。此外,采用自助法对超额收益率的进一步检验,本文发现,明星基金溢价与基金经理的选股能力无关,与基金经理的好运气有关。
This paper studies the relationship between funds rating and future performance for stock and partial-stock funds in Chi- na. Using Momingstar rating data, we construct 1 - star to 5-star funds portfolios, and apply Carhart four factors model to get risk adjusted return. The results show that 5-star funds portfolios have 2% excess return each year and arbitrage portfolios of long 5-stars and short 1-star have 6% excess return. Moreover, we apply bootstrap method to test for excess return, and find that star funds premium is not realated to managers＇ good skill, but to their good luck.
出处
《投资研究》
CSSCI
北大核心
2011年第9期116-125,共10页
Review of Investment Studies
基金
西南财经大学"211工程"三期工程建设项目资助
