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封闭式基金绩效:一种基于最小凸投入要求集的研究
引用本文:张金梅,沈悦,何友玉. 封闭式基金绩效:一种基于最小凸投入要求集的研究[J]. 价值工程, 2007, 26(9): 13-17
作者姓名:张金梅  沈悦  何友玉
作者单位:1. 西安外国语大学商学院,西安,710061
2. 西安交通大学,西安,710061
3. 深圳市中小企业担保公司,深圳,518000
基金项目:国家社会科学基金;陕西省教育厅资助项目
摘    要:基金绩效的评价引发了评价方法的选择问题,而评价方法的不同会导致评价结果大相径庭。论文选择最小凸投入要求集(Minimum Convex Input Request Set Approach,MCIRS)研究了我国33只封闭式基金从2001到2004年的相对绩效,并利用面板数据分析方法(Panel Data)分析了基金绩效的主要影响因素。实证结果显示:我国封闭式基金的绩效呈现出明显的时间态势,受大盘调整的影响较大。随着我国证券市场的不断成熟,基金业的进一步规范以及基金管理公司本身选股能力的提高,基金的绩效正在逐步提高。

关 键 词:封闭式基金  绩效  最小凸投入要求集(MCIRS)
文章编号:1006-4311(2007)09-0013-05

Close-ended Fund Achievement: A Research based on Minimum Convex Input Request Set Approch
Zhang Jinmei,Shen Yue,He Youyu. Close-ended Fund Achievement: A Research based on Minimum Convex Input Request Set Approch[J]. Value Engineering, 2007, 26(9): 13-17
Authors:Zhang Jinmei  Shen Yue  He Youyu
Abstract:The evaluation of close-ended fund achievement needs to choose suitable method because different methods have totally different effects. This paper analyses the relative achievement of 33 close-ended funds from 2001 to 2004 using Minimum Convex Input Request Set Approach. Then it analyses the influencing factors using Panel Data. The empirical results indicated that achievement of close-ended funds have obvious timing tendency. It is also affected heavily by stock market. With the development of Chinese stock market, advanced management on investment fund, and the improved choosing capacity by fund management companies, the achievement of close-ended funds is improving gradually.
Keywords:close-ended fund  achievement  MCIRS
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