我国股票型开放式基金业绩实证分析  

Empirical Analysis of the Performance of Stock-style Open-ended Funds

作　　者：张晓梅[1] 黄书猛[1] 

机构地区：[1]集美大学财经学院,福建厦门361021

出　　处：《集美大学学报（哲学社会科学版）》2013年第4期59-64,共6页Journal of Jimei University：Philosophy and Social Sciences

基　　金：教育部人文社会科学研究一般项目(11YJA790055)

摘　　要：运用夏普指数模型、基于横截面数据的OLS分析法以及H-M折线模型,从基金的收益率、基金收益的持续性、基金经理选股与择时能力三方面对我国股票型开放式基金进行较为全面的检验分析。结果显示,股票型开放式基金的收益总体上优于市场基准组合,基金收益的持续性不明显,基金经理没有明显的选股能力与择时能力。在此基础上,对我国股票型开放式基金业绩做出总体评价,并提出促进其发展的对策建议。By applying the Sharpe indexing method, OLS analysis method based on cross-sectional data and H-M method, this paper makes a relatively comprehensive evaluation of the stock-style open-ended funds＇ profitability, the persistence of fund earn- ing and the ability of fund manager in terms of stock picking and time selection. The results show the overall performance of the domestic stock-style open-ended funds outstands that of the market benchmark portfolio. The results also suggest that the persist- ence of fund earning is not very obvious, and that the fund manager lacks the ability of stock picking and time selection. On this basis, the paper makes an overall assessment of the stock-style open-ended fund performance and then comes up with the sugges- tion as to the promotion of stock-style open-ended fund market development.

关 键 词：股票型开放式基金 收益持续性 夏普指数模型 OLS分析法 H—M折线模型 

分 类 号：F830.91[经济管理—金融学]