| 中国主权财富基金的投资绩效研究 |
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| 引用本文： | 李锋,宋玉华.中国主权财富基金的投资绩效研究[J].经济理论与经济管理,2012,32(2):54-60. |
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| 作者姓名： | 李锋 宋玉华 |
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| 作者单位： | 1.中国进出口银行浙江省分行，杭州;2浙江大学经济学院 |
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| 基金项目： | 国家社会科学基金重点项目(07AGJ002) |
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| 摘 要： | 本文利用事件研究法（event study）实证研究了中国主权财富基金的投资绩效。在整理中国四家主权财富基金2007年12月-2010年6月进行的28项国内外上市公司投资数据的基础上，通过计算平均异常收益（AAR）和累积平均异常收益（CAAR）等指标，对目标公司在投资宣布日附近的股价异常波动情况进行估计和检验。同时，利用长期效应度量方法来度量中国主权财富基金投资行为的长期绩效。
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| 关 键 词： | 主权财富基金 中国 投资绩效 事件研究法 |
| 收稿时间： | 2011-12-15 |
A STUDY ABOUT INVESTMENT PERFORMANCE OF CHINA SOVEREIGN WEALTH FUNDS |
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| LI Feng
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SONG Yu-hua.A STUDY ABOUT INVESTMENT PERFORMANCE OF CHINA SOVEREIGN WEALTH FUNDS[J].Economic Theory and Business Management,2012,32(2):54-60. |
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| Authors: | LI Feng SONG Yu-hua |
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| Institution: | 1 Zhejiang Branch, Export import Bank of China, Hangzhou , China;
2College of Economics, Zhejiang University, Hangzhou , China |
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| Abstract: | This paper applied the method of event study to study the investments by China sovereign wealth funds and their economic effects and investment performance.After building up the date-base of China’s four SWFs which preceded 28 items of investments to target domestic and foreign listed companies from Dec 2007 to Jun 2010,this paper tested the abnormal return of the investment behaviors by China’s SWFs by calculating AAR and CAAR.At the same time,the long-term investment performances of China’s SWFs were disclosed by using the methods to measure long-term effect. |
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| Keywords: | sovereign wealth funds(SWFs) China investment performance event study |
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