我国证券投资基金资产配置效率研究  

The Study on the Asset Allocation Efficiency of Securities Investment Fund in China

作　　者：蒋晓全[1] 丁秀英[2] 

机构地区：[1]复旦大学经济学院,上海市200433 [2]青岛大学经济学院,山东青岛266071

出　　处：《金融研究》2007年第02A期89-97,共9页Journal of Financial Research

摘　　要：证券投资基金资产配置效率研究,旨在度量资产配置对证券投资基金业绩的贡献程度。本文根据我国证券投资基金发展的实际情况,通过建立面板数据模型(Panel Data),对我国证券投资基金资产配置效率进行实证研究,发现政策性资产配置在时间序列上对同一基金的业绩起着重要作用,基金积极管理程度与政策性资产配置对不同基金业绩差异贡献程度的关系不明显。The study on the asset allocation efficiency focus on the contribution degree of asset allocation to securities investment fund performance. On the basis of the development practice of China＇s securities investment fund, this article empirically studies the asset allocation efficiency of the securities investment funds in China with Panel Data model. The conclusion is that policy asset allocation plays an important role in a fund＇s returns over time-series, the relationship between active management and policy asset allocation＇s contribution to the return variation among funds is not evident.

关 键 词：证券投资基金 资产配置 效率 面板数据 

分 类 号：F832.51[经济管理—金融学] F224