三因子模型下的我国基金业绩评估实证分析  

Empirical research on performance of funds of China based on three-factor model

作　　者：安志鹏[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200030

出　　处：《哈尔滨商业大学学报（自然科学版）》2012年第5期638-640,共3页Journal of Harbin University of Commerce：Natural Sciences Edition

摘　　要：选取2005～2009年30只开放式基金和24只封闭式基金进行实证检验.从指标,可决系数,error variance三个方面验证了三因子模型比CAPM模型更能解释我国市场在2005～2009年的收益变化情况.三因子模型检验结果得到了和CAPM模型相同的结论,我国证券投资基金具有获得超额收益的能力.此外,开放式基金比封闭式基金会更积极的进行投资管理.通过实证发现,我国证券投资基金在震荡行情和牛市行情下会比市场处于熊市行情更积极的进行投资组合管理.Empirical evidence showed that three-factor model better explains market performance than CAPM model in China＇s market from 2005 to 2009 by using index of,and error variance.Chose 30 open-end funds and 24 closed-end funds with weekly return to compare their performance.Empirical result showed that funds in China have the capacity to earn the extra return and open-end funds had better performance than closed-end funds.The information ratio and the alpha showed that performance of all funds was good from 2005 to 2009.Empirical research on open-closed funds in 2005,2008 and 2009 since market performed differently in each period.Result showed that performance of funds was better in 2005 and 2009,worst in 2008.

关 键 词：三因子模型 信息比率 T-M模型 H-M模型 

分 类 号：F224[经济管理—国民经济]