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我国封闭式投资基金业绩评价实证研究
引用本文:王建琼,卢涛.我国封闭式投资基金业绩评价实证研究[J].数理统计与管理,2006,25(1):93-100.
作者姓名:王建琼  卢涛
作者单位:西南交通大学经济管理学院,四川成都,610031
摘    要:随着我国基金行业超常发展,恰当的分析和评价基金业绩已越来越重要。本文根据CAPM的基本原理,利用国外先进的基金业绩评价方法对我国封闭式基金的综合业绩进行实证研究。研究结果表明:总体来看,基金获得的市场超额收益显著为负。基金经理不具有证券选择能力,但具有一定的市场择时能力,但这两种能力均不显著。同时,我们还发现不同投资风格的基金经理具有不同的证券选择能力和市场择时能力。

关 键 词:基金业绩测评  GT指数  证券选择能力  市场择时能力
文章编号:1002-1566(2006)01-0093-08
收稿时间:2004-07-23
修稿时间:2004-07-23

Empirical Research on Performance Evaluation of Closed-end Security Investment Funds in Our Country
WANG Jian-qiong,LU Tao.Empirical Research on Performance Evaluation of Closed-end Security Investment Funds in Our Country[J].Application of Statistics and Management,2006,25(1):93-100.
Authors:WANG Jian-qiong  LU Tao
Institution:Sichuan Chengdu, School of Economics and Management, Southwest Jiaotong University,610031, China
Abstract:With the transnormal development of funds industry in our country,properly analyzing and evaluating funds performance is becoming more and more important.Under that background,the article,based on the principles of CAPM,makes empirical study on the performance evaluation of closed-end fund with the foreign advanced means.The results of the research indicate:as a whole,the ability of the closed-end funds gaining market excess income is minus,and it's statistically significant.The mutual funds' managers don't have security selection ability.However,they have market timing ability to some extent.Statistically,the two abilities are not significant.At the same time,we find that mutual funds' managers of different investment styles have different ability of security selection and market timing.
Keywords:performance evaluation  GT index  security selection ability  market timing ability
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