摘要
利用基于横截面回归的业绩持续性度量方法对中国证券投资基金进行了实证研究。结果表明,在市场单边上升阶段,基金业绩没有表现出持续性,而在包括市场上升和下跌的整个样本区间内,新基金的业绩不但不存在持续性,反而出现反转现象,这说明前期业绩较好的新基金的在市场下跌时的抗风险能力相对较差。
This paper empirically analyzes the performance persistence of Chinese security funds based on the crosssectional regression method. The results show that performance persistence doesn't exist in Chinese new funds'return during the bull market,but the return reversal really exists during the whole sample period. So the risk management ability of the winner funds during the bull market is poorer than the former losers.
出处
《预测》
CSSCI
2002年第6期41-44,18,共5页
Forecasting
基金
国家杰出青年科学基金资助项目(70025303)
关键词
中国
证券投资基金
业绩
持续性
横截面回归
security fund
performance persistence
return reversal
crosssectional regression
