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基金绩效评估中的证券选择和市场时机选择 被引量：4

Securities Selectivity and Market Timing in Fund Performance Evaluation
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摘要 本文对证券选择和市场时机选择能力的研究方法、结论及存在的问题进行了对比分析和讨论。介绍了有关模型 ,分析了研究中样本、参量选取及处理的方法 ,对不同模型的实证结果进行了比较。 This paper presents and analyses the different research method, results, and the problem unsolved on securities selectivity and market timing in fund performance evaluation. It describes relevant models, discuss about the sampling and processing of the data and factors, and compare the difference in empirical results through different models.
作者 吴启芳 陈收 杨宽 张汉江
机构地区 湖南大学工商管理学院
出处 《预测》 CSSCI 2002年第3期26-31,共6页 Forecasting
基金 国家自然科学基金资助项目 (79870 0 31 79910 76 186 0 79942 0 15 )
关键词 绩效评估 证券选择 市场时机选择 performance evaluation securities selectivity market timing
分类号 F830.91 [经济管理—金融学]
  • 相关文献

参考文献43

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同被引文献19

  • 1Cheng-few Lee ,Shallqur Rahman.Market Timing, Selectivity, and Mutual Fund Performance:An Empirical Investigation[J]. Journal of Business,1990,(2).
  • 2Fana.E.F. Conponents of investment performance[J],Joumal of Finance, 1972,(6).
  • 3Henriksson,Merton.On Market Timing and Investment performance: Statistical Procedures for Evaluating Forecasting Skills[J]Journal of Business,1981,(10).
  • 4Jensen,M.C.Mathematical Methods in Investment and Finance [M]. InG.P.Sazego and K.Shell,1972.
  • 5Merton.R.C. On estimating the expected return on the market [J]. Journal of Financial Economics,1980,(3).
  • 6TreynorJ.L, Mazuy.K.K. Can mutual funds outguess the market? [J].Harvard Bueiness Review,1966,(7).
  • 7Bollen. M. P. B, Busse. J. A. , On the Timing Ability of Mutual Fund Managers. Journal of Finance, 2001, 56.
  • 8Fama. E. , French. K. , Common Risk Factors in the Returns on Stock and Bonds. Journal of Financial Economics, 1993, 33.
  • 9Bollen. M. P. B, Busse. J. A. , On the Timing Ability of Mutual Fund Managers. Journal of Finance, 2001, 56.
  • 10Fama. E. , French. K. , Common Risk Factors in the Returns on Stock and Bonds. Journal of Financial Economics, 1993, 33.

引证文献4

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预测
2002年 第3期

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