| 基于持股数据的基金择股能力评价 |
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| 引用本文： | 胡畏,张明. 基于持股数据的基金择股能力评价[J]. 系统工程理论与实践, 2006, 26(9): 26-32. DOI: 10.12011/1000-6788(2006)9-26 |
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| 作者姓名： | 胡畏 张明 |
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| 作者单位： | 复旦大学管理学院,上海,200433 |
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| 摘 要： | 证券投资基金的业绩评价是一个在理论和实践中都十分有意义的课题.传统的回归型评价方法对评价基准有较强的依赖性,而基于持股数据的方法则因利用了较多的信息而对基金的择股能力有较强的识别力.利用基于持股数据的方法对中国54个封闭式基金的择股能力进行实证分析,结果显示它们有明显的择股能力.
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| 关 键 词： | 基金持股 评价基准 择股能力 |
| 文章编号： | 1000-6788(2006)09-0026-07 |
| 修稿时间： | 2004-09-21 |
Holding-based Valuation on Stock Selection Ability of Funds |
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| HU Wei,ZHANG Ming. Holding-based Valuation on Stock Selection Ability of Funds[J]. Systems Engineering —Theory & Practice, 2006, 26(9): 26-32. DOI: 10.12011/1000-6788(2006)9-26 |
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| Authors: | HU Wei ZHANG Ming |
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| Abstract: | Valuation of fund performance is always an important topic in both theory and practice.Traditional methods of valuation based on regression have high dependence on the benchmarks.However,the holding-based methods have more power to identify the stock selection ability of funds,because they use more information than regression methods.Using the holding-based method,we made an empirical analysis on the stock selection ability of 54 Chinese funds,our results show that they have significant stock selection ability. |
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| Keywords: | stock holdings benchmark stock selection ability |
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