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我国证券投资基金的积极资产组合管理能力研究
引用本文:李学峰,郭羽,谢铭.我国证券投资基金的积极资产组合管理能力研究[J].金融发展研究,2009(7).
作者姓名:李学峰  郭羽  谢铭
作者单位:1. 南开大学金融学系,天津,300071
2. 中信证券股份有限公司,北京,100004
基金项目:国家社会科学基金重大研究课题 
摘    要:本文以19支开放式基金和23支封闭式基金为研究样本,通过改进PCM模型,设计适用于非有效市场或弱有效市场的指标S,来考察我国证券投资基金在2005年1月1日至2007年6月30日这段研究区间内的积极资产组合管理能力,并对开放式基金和封闭式基金的积极资产组合管理能力进行比较分析.研究发现,开放式基金和封闭式基金均有较强的积极资产组合管理能力;封闭式基金的积极资产组合管理能力整体要高于开放式基金,特别是在上涨和震荡行情中;同时,市场走势的波动也会对基金的积极资产组合管理能力产生一定的影响.

关 键 词:开放式基金  封闭式基金  积极资产组合管理

Study on the Capacity of Portfolio Management in China's Securities Investment Funds
Li Xuefeng,Guo Yu,Xie Ming.Study on the Capacity of Portfolio Management in China's Securities Investment Funds[J].Journal of Financial Development Research,2009(7).
Authors:Li Xuefeng  Guo Yu  Xie Ming
Abstract:Based on 19 open-end funds and 23 closed-end funds as the research sample, through improved PCM model and indicator S which applied to non-effective market or weak efficient market, this paper studied the active portfolio management capabilities of china's securities investment funds during the study interval from January 1, 2005 to June 30, 2007.And the comparative analysis of the active portfolio management capabilities of the open-end funds and the closed-end funds was conducted in this paper. Study found that both the open-end funds and the closed-end funds have high active portfolio capabilities, but the closed-end funds appeared to have higher active portfolio capabilities than open-end funds, especially in higher prices and shocks. In the same time, market fluctuations will have a certain impact on the fund's active portfolio management capabilities, but not absolute.
Keywords:Open-end funds  Closed-end funds  Active portfolio management
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