共查询到20条相似文献,搜索用时 84 毫秒
1.
通过对我国近三年来的8只证券投资基金的风险和收益进行实证研究,并在此基础之上与上证指数进行相互比较,从而时我国目前的证券投资基金得出几点简要的结论和政策建议. 相似文献
2.
通过对我国近三年来的8只证券投资基金的风险和收益进行实证研究,并在此基础之上与上证指数进行相互比较,从而对我国目前的证券投资基金得出几点简要的结论和政策建议。 相似文献
3.
采用多元线性回归方法,以2000-2003年我国已发行基金为研究对象,对年度基金管理费用与基金业绩、规模之间的关系进行了实证分析。结果表明:基金业绩、规模在2000年和2001年是影响基金管理费的主要因素;但自从2002年证监会全面停止提取业绩报酬之后,基金业绩对管理费用的影响不再显著,甚至出现了基金收益系数为负的怪现象。在此基础上,提出了对我国基金管理费用改革的几点建议。 相似文献
4.
以我国2004-2010年WIND分类成立超过半年的316只股票型和偏股型证券投资基金为总体样本,从两种类型基金每半年的平均收益率、贝塔、仓位、选股选时能力及牛熊市等角度评估基金运作中股票换手率高低对其绩效影响关系。研究发现,在资产配置得当,控制总风险和选股能力相对稳定前提下,基金换手率高低控制,总体上取得相对明显投资绩效的,尤其高换手增加了总投资收益,大熊市低换手降低损失。但也面临放大系统性风险,单位换手产出收益日益低于市场平均水平不足。 相似文献
5.
对于证券投资来说,其基金绩效考核的方式有就很多种,而就当前的理论觉得,要想确保对基金所做的考核是有效的,那就必须得引进存在一定风险价值因素的绩效考核方法。因而关键之处还在于通过对基金绩效所存在的一些风险进行正确的测量来达到对其有效的评估。 相似文献
6.
7.
本文以我国封闭式证券投资基金的相关面板数据为样本,分析了基金治理结构与基金业绩的关系,并希望在此基础上找出优化基金治理结构的途径。 相似文献
8.
文章以2012年至2013年我国偏股型开放式证券投资基金的数据,分析了基金规模对于基金绩效的影响。实证分析的结果显示,基金规模越高,则基金的绩效会随着规模的扩大而出现一个规模不经济的最低点,而后在出现一个随着规模扩大而实现规模经济的阶段。但是,除了小基金之外,其盈利能力普遍低于大盘,显现出我国证券投资基金市场的运作还不够完善,管理能力有待提升的问题。 相似文献
9.
本文以我国封闭式证券投资基金相关面板数据为样本,分析了基金治结构与基金业绩的关系,并希望在此基础上找出优化基金治理结构的途径. 相似文献
10.
本文以我国封闭式证券投资基金的相关面板数据为样本,分析了基金治理结构与基金业绩的关系,并希望在此基础上找出优化基金治理结构的途径。 相似文献
11.
Angeles Fernandez-Izquierdo Juan Carlos Matallin-Saez 《Journal of Business Ethics》2008,81(2):247-260
There is currently much debate in the economic literature about whether ethical investment involves a financial sacrifice
or premium. One of the most common methods of testing this compares the financial performance of ethical investment funds
with that of other funds not considered “socially responsible” or ethical. The majority of these research studies evaluate
the performance of the ethical funds according to classic measures, whereby different financial markets, in different countries
and for different periods of time serve as reference for evaluation. The ultimate conclusion of all of these studies is that
there are no significant differences between the performance results of one type of funds and the other. In Spain, ethical
investment funds are still an incipient sector of investment. To date, the Spanish market has not been included in any type
of analysis of these characteristics. Therefore the main objective of this article is to compare the financial performance
of ethical investment funds to that of other funds in the Spanish retail market. We propose the aggregate type of analysis
as the Spanish ethical investment funds have experienced a weaker development in comparison to those of other developed countries.
In the first step we suggest the financial performance to be compared by style analysis since the asset distribution of the
Spanish Social Return Investment (SRI) funds differs from the European trend. In particular, we use the multifactor regression
model with style benchmarks. We found that their financial performance is in all cases superior or similar to that achieved
by the rest of the funds. In the second step, to achieve a more robust and homogeneous comparison, we used the bootstrap method,
comparing ethical and non-ethical fund subsamples by homogeneous groups. No significant differences between these two types
of funds have been found. Thus, if we assume the positive o neutral effect of ethical investment on investor utility in the
retail Spanish market the financial and social performance (FSP) of ethical funds will be, in aggregate, superior to the FSP
achieved by conventional funds. In conclusion, the financial performance of ethical mutual funds in Spain is no sacrifice. 相似文献
12.
Recent years have witnessed an increasing growth in mutual funds that invest according to social criteria. As a consequence,
the financial performance of these portfolios has attracted the interest of academics and practitioners. This paper investigates
the performance of a sample of socially responsible mutual funds from seven European countries investing globally and/or in
the European market. Using unconditional and conditional models, we assess the performance of these funds in comparison to
conventional and socially responsible benchmark portfolios. The results show that European socially responsible funds present
in general neutral performance in relation to both conventional and socially responsible benchmarks. However, performance
estimates seem to be slightly higher when funds are evaluated in relation to socially responsible indices. Our results also
show that socially responsible funds are more exposed to conventional than to socially responsible indices. Furthermore, conventional
benchmarks are better able to explain fund returns than socially responsible benchmarks. These findings are robust to both
unconditional and conditional models of performance. We also observe that conditional models lead to a slight improvement
of performance estimates and to the explanatory power of the models, both when conventional and socially responsible benchmarks
are considered. This is consistent with most previous empirical findings on conditional performance evaluation. Our results
show that investors who wish to hold European funds can add social screens to their investment choices without compromising
financial performance. 相似文献
13.
Stewart Jones Sandra van der Laan Geoff Frost Janice Loftus 《Journal of Business Ethics》2008,80(2):181-203
Interest in the notion of the possible financial sacrifice suffered by socially responsible investment (SRI) fund investors
for considering ethical, social and environmental issues in their investment decisions has spawned considerable academic interest
in the performance of SRI funds. Both the Australian and international research literature have yielded largely mixed results.
However, several of these studies are hampered by methodological problems which can obscure the significance of reported results,
such as the use of small sample sizes, inconsistencies in the time frames selected to analyse performance and different modelling
frameworks used to estimate investment returns. This study attempts to redress some of these issues by investigating the returns
performance of 89 ethical funds in Australia over the period 1986–2005. Using a multi-factor CAPM model [Fama, E. F., and
K. R. French (1996) J. Finance
51(1), 55] (which controls for factors such as size, book-to-market value and momentum) we find that ethical funds significantly
under-perform the market in Australia, particularly in the most recent 5 years of our sample period (2000–2005). Risk adjusted
returns (using Jensen’s alpha) indicate that average annual underperformance is around 1.52% in the 2000–2005 period for our
sample and .88% over the whole sample period. Our results contrast with many previous studies (both Australian and international),
which have not found statistically significant differences in the performance of ethical funds relative to market benchmarks
and/or a matched sample of conventional funds.
Stewart Jones is a Professor of Accounting with the University of Sydney, appointed in 2001. His research interests embrace
credit risk modelling, capital markets research, standard setting and accounting theory.
Sandra van der Laan is a lecturer in the Discipline of Accounting at the University of Sydney. Her research focuses on accounting
as a social discourse and accounting as a mechanism to discharge a broad range of corporate accountabilities.
Geoff Frost is an Associate Professor of Accounting at the University of Sydney. His research interests include corporate
social responsibility and ethical investment.
Janice Loftus is a senior lecturer in accounting at the University of Sydney. Her current research interests include financial
accounting and corporate social responsibility reporting. 相似文献
14.
Although the academic interest in ethical mutual fund performance has developed steadily, the evidence to date is mainly sample-specific.
To tackle this critique, new research should extend to unexplored countries. Using this as a motivation, we examine the performance
and risk sensitivities of Canadian ethical mutual funds vis-à-vis their conventional peers. In order to overcome the methodological
deficiencies most prior papers suffered from, we use performance measurement approaches in the spirit of Carhart (1997, Journal of Finance 52(1): 57–82) and Ferson and Schadt (1996, Journal of Finance 51(2): 425–461). In doing so, we investigate the aggregated performance and investment style of ethical and conventional mutual funds and allow for time variation in the funds’ systematic risk. Our␣Canadian
evidence supports the conjecture that any␣performance differential between ethical mutual funds and their conventional peers
is statistically insignificant.
相似文献
15.
建立了基金管理人与投资者之间的不完全信息动态博弈模型,用以说明不同基金组织形式下基金管理人行为选择的差异。研究认为管理人的行为选择是其相机抉择的结果,开放式基金制度是否对管理人有更强约束力,取决于监督机制、声誉机制、管理人收入方案等因素。在模型分析的基础上,提出了减轻管理人机会主义行为的制度设计方案。 相似文献
16.
通过简单地介绍目前普遍应用的几种证券投资基金业绩评价模型 ,针对我国的实际情况 ,指出在实际应用过程当中一些值得关注的问题 ,最后给出了几点建议 相似文献
17.
《Latin American Business Review》2013,14(3):113-132
ABSTRACT This work investigates the relationship between investment expenses and pension fund size with investment performance, and whether or not past performance influences future performance. Relationships are presented between expenses, size and investment performance of pension funds in Brazil in the period 1998–2002. Utilizing regressions allowed for the conclusion that performance and expenses presented an inverse relationship, and that past performance does not offer any indication as to future performance, which indicates that active administration is not a good strategy. Finally, portfolio size presented a relationship inverse to performance. RESUMEN. Este trabajo investiga la relación que existe entre los gastos incurridos por las inversiones, y el tamaño de los fondos de pensión con respecto al desempeño de las inversiones, para determinar si el desempeño del pasado ejerce o no algún tipo de influencia sobre el desempeño esperado. Hemos trazado una relación entre los gastos, tamaño y desempeño de las inversiones asignadas a los fondos de pensión en Brasil durante el período 1998–2002. El uso de estas regresiones nos permitió determinar que el desempeño y gastos presentaron una relación inversa, y que el desempeño anterior no ofrece ninguna indicación sobre el desempeño que se puede esperar en el futuro. Esto indica que la administración activa de los fondos no es una buena estrategia y, por último, determinamos que el tamaño de la cartera presentó una relación inversa al desempeño. RESUMO. Este trabalho verifica se as despesas de investimentos e o porte do fundo de pensão estão direta ou inversamente relacionados com o desempenho dos investimentos. Apresentam-se relações entre despesas, porte e o desempenho dos investimentos dos fundos de pensão no Brasil, no período de 1998 a 2002. A utilização de regressões entre as medidas de desempenho, as despesas e o porte permitiu concluir que as despesas de investimentos e o porte das carteiras dos fundos de pensão apresentaram relação inversa com o desempenho dos investimentos. Essa descoberta favorece a idéia de que a administração ativa não é boa estratégia. 相似文献
18.
Jacob De Rooy 《Business Economics》2006,41(4):29-38
Management fees of mutual funds are more costly to
investors than is often realized. Moreover, research indicates
that in many cases, the fees are not related to performance,
contrary to what might be expected from an efficient market. This study uses sample data to illustrate
the consequences of inefficiency to an individual investor.
It then turns to an empirical examination of the determinants
of the ratio of management fees to total assets
(MER), investigating market concentration, fund performance,
and non-performance characteristics as
explanatory variables. All of these classes of variables
contributed to the variation of MERs .
JEL Classification G23 相似文献
19.
Greig A. Mill 《Journal of Business Ethics》2006,63(2):131-148
This paper empirically examines the financial performance of a UK unit trust that was initially “conventional” and later adopted
socially responsible investment (SRI) principles (ethical investment principles). Comparison is made with three similar conventional
funds whose investment objectives remained unchanged. Analysis techniques employed in previous studies find similar results:
mean risk-adjusted performance is unchanged by the switch to SRI, with no evidence of over-or under-performance relative to
the benchmark market index by any of the four funds. More interestingly, changes in variability of returns over time are also
modelled using generalised autoregressive conditional heteroscedasticity models, not previously applied to SRI funds so far
as is known. Results show a temporary increase in variability of returns, followed by a return to previous levels after around
4 years. Evidence shows the increased variability to be associated with the adoption of SRI rather than with a change in fund
management. Possible explanations for the subsequent reduction in variability include the spread of corporate social responsibility
activities by firms and learning by fund managers. In addition to reporting on a previously unobserved phenomenon, this paper
raises questions for further research. 相似文献
20.
财政信用担保资金绩效评价应把握分类实施和多维度考察原则,根据目前财政信用担保资金运行机制的现状特征及其评价模型,适宜构建3张评估表格2个层面15个指标的绩效评价体系,选取浙江省秀洲区财政信用担保资金绩效进行了实证分析,并对评价结果作出分析及提出相关对策建议。 相似文献