摘要
本文旨在研究基金净值增长率在月末、季末、年末最后1个交易日是否被显著地拉升而表现出一定的日历效应。首先引入虚拟变量进行回归分析,然后讨论不同业绩组的日历末表现以及前后10个交易日的净值增长率走势。结果表明,实证支持基金日历末净值增长率异常增大的原假设。此外还发现,净值增长率在月末、季末前后10个交易日明显呈现一个由低点逐渐增大,然后回落的趋势。
In this paper, we intend to find evidence if opened-fund returns are abnormatty inflated in the last trading day. Firstly, dummy variables are introduced in the regression to analyze the calendar effect of specific trading days. We also discuss the returns change among groups of the different historic performance and among the 10 trading days around the calendar end. We find that returns of trading days at month - end are higher than those of common days. Furthermore, we prove that the returns show a changing trend in the 10 trading days around month- end and quarter - end, enlarged from a rather low level and decreased from a summit. Some possible explanations are given out for the empirical findings.
出处
《中国管理科学》
CSSCI
2006年第4期13-18,共6页
Chinese Journal of Management Science
基金
国家自然科学基金委员会优秀创新研究群体基金(70221001)
中国博士后基金资助项目
