经典詹森指数绩效衡量方法的有效性研究及改进——来自中国基金市场的检验  

Study on the Validity of the Classical Jensen a Performance Evaluating Method and Its Improvement——A Test from the Chinese Fund Market

作　　者：屠新曙[1] 段琳琳[1] 

机构地区：[1]湘潭大学商学院,湖南湘潭411105

出　　处：《管理科学》2005年第2期46-51,共6页Journal of Management Science

基　　金：湖南省教育厅优秀青年资助项目(04B057)教育部人文社科规划资助项目(02JA790049)

摘　　要：以33只封闭式基金为对象,对经典詹森指数绩效衡量方法在中国基金市场上的有效性进行了实证检验,发现经典绩效衡量方法关于资产组合收益率服从正态分布的假设在中国基金市场上不能成立、在运用单因素詹森指数模型对基金绩效进行评价时用不同的市场组合作为基准组合会得到不同的β值、仅以单一基准组合对基金绩效加以衡量不够充分且其结果是不准确的。作为改进,提出了一种三因素詹森指数绩效衡量模型,并与单因素模型进行了对比分析。33 closed-end funds are chosen as the objects of our empirical test for the validity of the classical Jensen a performance evaluating method in the Chinese fund market. We find three problems:(1)The hypothesis that asset portfolios follow the normal distribution in classical performance evaluating methods is not tenable. (2)As benchmarks , different market portfolios will educe different β while evaluating fund performance by using Jensen a Single-factor model. (3)It is inadequate to evaluate fund performance using a single benchmark , and the result is inaccurate. As an improvement, we design a three-factor Jensen a performance evaluating model, and compare it with the single factor model.

关 键 词：绩效衡量 正态分布 有效性 三因素模型 

分 类 号：F830.59[经济管理—金融学]