摘要
本文回顾了Sharpe(1992)的资产因子回归模型,并用于分析我国的封闭式基金的投资风格。研究发现,样本基金中实际投资风格偏离了宣称的投资风格,同一个基金投资风格前后不一致,而且样本基金存在着投资风格趋同的现象。而且通过动态的视角,说明了该模型被忽略的价值。
This article reviews the asset class factor model in Sharpe（1992） and uses it to analyze the investment style and objectives of close-end funds in China. Our results indicate that for the funds we choose, actual investment styles deviate from the stated ones, and present different investment style from time to time even for the same fund. Also, funds in our sample exhibit investment style convergence. We are able to illustrate value of the asset class factor model that has been neglected through dynamic view.
出处
《投资研究》
CSSCI
北大核心
2011年第12期112-121,共10页
Review of Investment Studies
基金
中国财政金融政策研究中心的"金融监管体系制度和设计"项目的资助
