我国证券投资基金绩效评价及绩效持续性研究被引量：11

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摘要文章在运用基于规模收益可变的超效率DEA方法对我国基金市场上72只基金2005年至2011年绩效进行分析评价的同时,以此为依据应用双向表法对其绩效持续性进行了检验。通过绩效评价,我们完成了超效率的归因;通过绩效持续性检验,我们发现基金绩效在"牛市"与"熊市"时存在很强的持续性,而在市场波动剧烈时出现反转而不具有持续性特性。我们的研究将为我国证券基金业的发展提供理论支撑。

作者王赫一

机构地区吉林大学商学院

出处《统计与决策》 CSSCI 北大核心 2012年第6期156-159,共4页 Statistics & Decision

基金国家自然科学基金青年项目资助(71001044) 教育部人文社会科学重点研究基地重大资助项目(2009JD790017)

关键词基金绩效评价绩效持续性超效率DEA 双向表法

分类号 F832 [经济管理—金融学]

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参考文献6

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