基于因子分析的基金业绩实证研究——以上证封闭式基金为例  

作　　者：陈芳平[1] 姬新龙[1] 

机构地区：[1]兰州商学院

出　　处：《时代经贸（下旬）》2007年第01X期7-9,共3页Economic & Trade Update

摘　　要：伴随着当前市场上“封转开”的呼声热潮,封闭式基金再次成为投资者追逐的对象。然而近来我国封闭式基金的高折价使得广大投资者对各个基金的业绩产生疑惑,有鉴于此,本文选取2006年前三季度的基金报表原始数据,对上海证券交易所的24只封闭基金进行因子分析,归纳出影响基金业绩的三个主因子,即价值因子,收益因子和风险因子,并对各只基金进行了因子排名,得出折价率对基金业绩影响并不明显,并且基本价值分析与“收益-风险”分析一样,对基金投资也具有较为重要的意义。Nowadays with the up-surglng voice of ＂close-ended funds transferring to open funds＂ in the market, close-ended funds become the targets pursued by investors again. However, recently numbers of investors are suspecting the achievements as a result of the high-discount of each close-ended fund in our country. In views of this, this article chooses the initial financial data of the first three quarters in 2006, analyses twenty-four close-ended funds in the Shanghai Stock Exchange adop ting the method of factor analysis, sums up the three factors affecting the achievements of the funds., value factors, profit factors and risk factors, also it arranges the order of the factors and achieves the conclusion that the rate of discount doesn＇t affect obviously to the funds＂ achievement, and as well as＂ profit - risk ＂analysis, the basic value analysis is of great importance to the funds investment.

关 键 词：封闭基金 业绩评价 因子分析 

分 类 号：F832.5[经济管理—金融学]