中国股票型基金业绩持续性实证研究  

ON THE PERSISTENCE OF CHINA EQUITY FUNDS' PERFORMANCE

作　　者：李悦[1] 黄温柔[1] 

机构地区：[1]北京大学软件与微电子学院,北京100871

出　　处：《经济理论与经济管理》2011年第12期45-52,共8页Economic Theory and Business Management

基　　金：国家自然科学基金项目(70802002);教育部人文社会科学研究青年基金项目(10YJC790156)

摘　　要：本文采用动量检验法和回归系数法,检验了存续时间超过24个月的中国股票型基金业绩是否存在持续性。结果发现,101只样本基金的业绩在6个月存在显著的持续性。在此基础上,本文从风险收益和基金管理人能力两个角度检验了基金业绩持续性的来源,结果发现,CAPM和"三因素模型",以及考虑了基金投资风格的管理人选股能力、择时能力及投资风格持续收益,均不能解释中国股票型基金的业绩持续性。This paper applied momentum strategy and cross-sectional regression to test the persistence of the performance of all Chinese equity funds which existed for over 24 months during January 2004 to De- cember 2009, The result demonstrated that the 101 equity funds in this paper exhibited strong evidences of persistence within six months. Furthermore, we used portfolio risk and fund manager＇s professional skill to explain the persistence. The research found neither the portfolio risk measured by CAPM and ＂three factor model＂ nor stock select skill, investment timing, and investment style could explain the persistence.

关 键 词：股票型基金 业绩持续性 基金投资风格 动量检验法 回归系数法 

分 类 号：F224[经济管理—国民经济] F832.51