明星基金溢价效应:“高技术”还是“好运气”?  

Star Funds Premium Effect: Good Skill or Good Luck?

作　　者：申宇[1] 吴玮[1,2] 

机构地区：[1]西南财经大学经济研究与管理研究院 [2]上饶银行

出　　处：《投资研究》2011年第9期116-125,共10页Review of Investment Studies

基　　金：西南财经大学"211工程"三期工程建设项目资助

摘　　要：本文研究我国股票型、偏股型开放式基金的评级与未来业绩的关系。根据晨星公司的基金评级数据,每月构造1星级至5星级的基金投资组合,并采用Carhart四因子模型对组合收益进行风险调整,研究发现5星级基金每年能获得2%的超额收益率,5星级与1星级基金的套利组合年超额收益为6%。此外,采用自助法对超额收益率的进一步检验,本文发现,明星基金溢价与基金经理的选股能力无关,与基金经理的好运气有关。This paper studies the relationship between funds rating and future performance for stock and partial-stock funds in Chi- na. Using Momingstar rating data, we construct 1 - star to 5-star funds portfolios, and apply Carhart four factors model to get risk adjusted return. The results show that 5-star funds portfolios have 2% excess return each year and arbitrage portfolios of long 5-stars and short 1-star have 6% excess return. Moreover, we apply bootstrap method to test for excess return, and find that star funds premium is not realated to managers＇ good skill, but to their good luck.

关 键 词：明星基金 自助法 运气 技术 

分 类 号：F224[经济管理—国民经济] F832.51