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中国开放式证券投资基金短期行为分析
引用本文:张贡生,张健.中国开放式证券投资基金短期行为分析[J].石家庄经济学院学报,2008,31(4):16-19.
作者姓名:张贡生  张健
作者单位:兰州商学院,甘肃,兰州,730020
摘    要:文章利用Fama—French三因素模型对中国开放式证券投资基金在相邻多、空两期市场行情下的风格和收益的稳定性特征进行了实证检验,结果显示:在牛市行情中基金风格趋同性强,在资产配置风格上存在较强的“羊群效应”和“搭便车”现象,基金之间的业绩相差不大,而在调整期基金风格和收益发生改变、分化。文章认为,基金风格短期漂移的原因是我国现行的基金信息披露制度和绩效评价机制,进而造成的基金经理人与投资者以及基金经理人之间形成动态博弈。

关 键 词:开放式基金  风格漂移  道德风险

Analysis on the Short-term Behavior of Mutual Fund Investment in China
ZHANG Gong-sheng,ZHANG Jian.Analysis on the Short-term Behavior of Mutual Fund Investment in China[J].Journal of Shijiazhuang University of Economics,2008,31(4):16-19.
Authors:ZHANG Gong-sheng  ZHANG Jian
Institution:ZHANG Gong-sheng,ZHANG Jian(Lanzhou University of Finance & Economics,Lanzhou,Ganshu 730020)
Abstract:In this paper,Fama-French three-factor model is used to test the stability of styles and returns of Chinese funds in bull and bear market.The results show that in the bull market the styles are all similar and the strategy of asset allocation presents herding and free-rider phenomenon.There is little difference of performance among the funds.In the bear market,however,the styles and returns change.The article shows that the short-term fund style drift is resulted from the existing fund information disclosur...
Keywords:mutual funds  style drift  moral risk  
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