基于岭回归的中国开放式基金投资风格分析  

Investment Style Analysis of Open-end Fund in China based Ridge Regression Estimation

作　　者：邓晓卫[1] 田亚慧[1] 

机构地区：[1]南京工业大学应用数学系,江苏南京211800

出　　处：《金融理论与实践》2011年第3期75-79,共5页Financial Theory and Practice

摘　　要：基于收益率的基金投资风格分析面临的最大问题是基准指数之间可能存在严重共线性,从而导致结论的推断失真。本文引入岭回归估计方法,消除了解释变量间的共线性问题,考察了不同类型的开放式基金在2004年2月至2010年3月间的投资风格。结果显示:不同类型的基金的投资风格基本无差异,投资风格的转变更多地受经济波动的影响和短期利益的驱使。作者最后对改善基金投资行为提出了相关政策建议。The multicollinearity in benchmark index is the most serious problem associated with analyzing the open-end fund investment style based on return.It will lead to an invalid conclusion.In this paper,we eliminated the multicollinearity and analyzed the investment style of different types＇ Open-end fund by using the ridge regression estimate,based on the data from February 2004 to March 2010.The result shows that the investment style of Growth,Balance and Value-based fund are commonality in China.The investment style was influenced by economic fluctuations and prompted by short-time profit.At last,we propose the relative policy suggestion for improving fund investment behavior.

关 键 词：证券市场 开放式基金 投资风格 岭回归 

分 类 号：F830.91[经济管理—金融学]