| 基于时变β的基金绩效评价方法及实证研究 |
| |
| 引用本文： | 刘笑萍,黄晓薇.基于时变β的基金绩效评价方法及实证研究[J].当代经济科学,2009,31(4). |
| |
| 作者姓名： | 刘笑萍 黄晓薇 |
| |
| 作者单位： | 1. 中央财经大学,财经研究院,北京,100081
2. 对外经济贸易大学,金融工程系,北京,100029 |
| |
| 摘 要： | 无论对投资者还是基金公司证券,投资基金的绩效评价具有重大意义。评估基金的投资绩效,不仅要考察基金的平均收益率,而且要看它承受的风险。本文利用我国基金市场数据样本,在考虑基金贝塔系数时变的情况下构造TVB指标,并且通过实证研究,对比出这种对基金绩效评价方法的优越性。
|
| 关 键 词： | 时变贝塔 波动性 基金绩效 |
The Assessment of Fund Performance and Empirical Research Based on Time-Varying Beta |
| |
| LIU Xiao-ping,HUANG Xiao-wei.The Assessment of Fund Performance and Empirical Research Based on Time-Varying Beta[J].Modern Economic Science,2009,31(4). |
| |
| Authors: | LIU Xiao-ping HUANG Xiao-wei |
| |
| Institution: | LIU Xiao-ping1,HUANG Xiao-wei2(1.Central University of Finance , Economics,Beijing 100081,China,2.University of International Business , Economics,Beijing 100029,China) |
| |
| Abstract: | The performance assessment of securities investment funds is important for both investors and the funds. The performance should be assessed in terms of risks as well as average earnings. However,the indices of Sharp,Treynor,and Jensen did not consider the time-varying beta coefficient. This paper proposes a new assessment method,TVB index,with sample data from China funds. The paper empirically shows the merits of TVB index considering the time-varying beta coefficient. |
| |
| Keywords: | Time-varying beta Volatility Performance of funds |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
