证券投资基金持股的风险特征实证研究  

An Empirical Study on Risk Characteristics of Investment Funds Holdings

作　　者：杨德群[1] 杨朝军[1] 蔡明超[1] 

机构地区：[1]上海交通大学管理学院,上海200052

出　　处：《三峡大学学报（自然科学版）》2004年第3期285-288,共4页Journal of China Three Gorges University：Natural Sciences

基　　金：国家自然科学基金资助项目(70073017)

摘　　要：使用股票的平均收益、CAPM风险测度(β值)和传统风险测度(标准差、偏度和峰度)对我国证券投资基金在2000-2002年期间的投资决策进行了实证分析.结果表明,在这3年中,基金的持股比重与股票的β值具有不显著的相关性,而与股票的标准差、偏度和峰度之间的相关性则比较显著,这表明了基于个股属性的传统风险测度对基金经理的投资决策起着重要作用,而CAPM理论是否得到基金经理的广泛运用还有待于进一步论证.This paper uses mean return, CAPM risk measures beta(β) and traditional risk measures (standard deviation, skew and kurtosis) to empirically study investment decisions of investment funds between 2000 and 2002. We find that the level of investment funds ownership is not significantly related to beta(β) and a little significantly related to standard deviation, skew and kurtosis of stock return. These results show that the traditional risk measures have important effect on investment funds' investment decisions; but whether CAPM are applied extensively by fund managers needs to be proved further.

关 键 词：证券投资基金 CAPM 系统风险 传统风险测度 

分 类 号：F830.91[经济管理—金融学]