本文選題：開(kāi)放式基金　切入點(diǎn)：風(fēng)格趨同化　出處：《當(dāng)代財(cái)經(jīng)》2017年08期

【摘要】：在中國(guó)開(kāi)放式基金市場(chǎng)上,業(yè)績(jī)比較基準(zhǔn)選取不當(dāng)會(huì)給投資者帶來(lái)誤導(dǎo),同時(shí)中國(guó)基金市場(chǎng)投資風(fēng)格趨同化使得投資者難以鑒別基金業(yè)績(jī)的優(yōu)劣。采用2004年至2015年的月度樣本數(shù)據(jù),通過(guò)構(gòu)建主動(dòng)型業(yè)績(jī)比較基準(zhǔn)組合(APB組合),將其作為描述基金風(fēng)格的新基準(zhǔn),同時(shí)運(yùn)用各APB組合構(gòu)建APB因子,并加入到傳統(tǒng)的三因子模型中,研究發(fā)現(xiàn):該模型可有效控制基金投資風(fēng)格趨同化帶來(lái)的影響,還可提高投資者鑒別基金業(yè)績(jī)優(yōu)劣的能力;此外,加入APB因子的三因子模型產(chǎn)生的基金收益具有較強(qiáng)的持續(xù)性,對(duì)于改進(jìn)現(xiàn)有基金業(yè)績(jī)?cè)u(píng)價(jià)方法具有重要的參考價(jià)值。
[Abstract]:In the China open-end fund market, the performance benchmark selection improper to mislead investors, at the same time China fund market investment style convergence allows investors to distinguish the pros and cons of fund performance. The monthly sample data by 2004 to 2015, through the construction of active performance benchmark portfolio (APB group), as the new reference description the style of the fund, while the use of APB to construct the APB factor combination, and added to the three factor model, the results showed that the effect of this model can effectively control the fund investment style convergence brings, but also can improve the ability of investors to identify the fund performance; in addition, three factor APB model with factor income fund with strong persistence, it has important reference value for the improvement of the existing evaluation methods of fund performance.

【作者單位】： 江西財(cái)經(jīng)大學(xué)金融管理國(guó)際研究院;江西財(cái)經(jīng)大學(xué)金融學(xué)院;
【基金】：國(guó)家自然科學(xué)基金項(xiàng)目(71363018) 江西省高校人文社會(huì)科學(xué)重點(diǎn)研究基地研究項(xiàng)目(JD1561) 江西財(cái)經(jīng)大學(xué)金融管理國(guó)際研究院“啟明星研究生培養(yǎng)項(xiàng)目”
【分類(lèi)號(hào)】：F832.51
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本文編號(hào)：1711933