考虑生存偏差现象的我国封闭式基金绩效持续性研究  

A Study of Performance Persistence in Chinese Close-ended Fund in view of Survivorship Bias

作　　者：杨艳林[1] 

机构地区：[1]华南理工大学经济与贸易学院,广州510006

出　　处：《上海金融学院学报》2011年第4期60-70,共11页Journal of Shanhai Finance University

摘　　要：生存偏差是进行我国封闭式基金绩效研究不可忽视的问题。本文选取2001-2009年我国54只契约型封闭式基金为样本,研究了生存偏差对封闭式基金绩效持续性的影响。结论认为,我国封闭式基金生存偏差效应显著为负,所估计得到的生存偏差效应值介于每年-4.97%至-0.34%之间;退市基金规模较小、绩效较高是导致这一结论的主要原因;同时,研究发现,生存偏差会减弱封闭式基金绩效持续性。Survivorship bias is an inevitable problem when study Chinese close-ended fund＇s performance.This paper chooses a sample included 54 contractual-type close-ended funds,and investigates survivorship bias effect comprehensively and systematically.On the base of that,this paper also studies the impact of survivorship bias on fund＇s performance persistence.The results show that,survivorship bias effect of Chinese close-end fund is significantly negative,the estimated survivorship bias ranges from-4.97% to-0.34% per year;And the predominant reason lies in non-survivors＇ smaller size and superior performance;Meanwhile,survivorship bias weakens performance persistence.

关 键 词：封闭式基金 生存偏差 绩效度量 绩效持续性 

分 类 号：F830.591[经济管理—金融学]