| PPW模型、GT整体检验对基金选股能力的再考察 |
| |
| 引用本文： | 单耀文,徐剑刚.PPW模型、GT整体检验对基金选股能力的再考察[J].系统工程,2004,22(5):66-69. |
| |
| 作者姓名： | 单耀文 徐剑刚 |
| |
| 作者单位： | 复旦大学,管理学院,上海,200433 |
| |
| 摘 要： | 以往的研究一致认为我国基金并无时机选择能力，但对选股能力结论则不尽相同。本文应用PPW模型、GT整体检验对基金绩效特别是选股能力进行检验。通过不同的市场基准、期间以及对单因素和多因素模型进行对比，发现：我国基金并无显著的选股能力．前期显著的选股能力可能来自新股配售政策的影响。
|
| 关 键 词： | 基金 选股能力 PPW GT整体检验 |
| 文章编号： | 1001-4098(2004)05-0066-04 |
On Stock Selectivity of Chinese Close-end Funds |
| |
| SHAN Yao-wen,XU Jian-gang.On Stock Selectivity of Chinese Close-end Funds[J].Systems Engineering,2004,22(5):66-69. |
| |
| Authors: | SHAN Yao-wen XU Jian-gang |
| |
| Abstract: | We examine the performance of Chinese close-end funds during 2000-2002. Using PPW and GT, two benchmark portfolios and three-factor model, we find CAPM lacks efficiency and it's more proper to use multifactor models. The Funds haven't exhibited significant selectivity ability in the whole sample period. But they exhibit superior securities selectivity in a bullish which may attribute to the excess return of policy. |
| |
| Keywords: | Close-end Funds Stock Selectivity PPW GT |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
