| 我国开放式基金业绩中短期持续性实证研究 |
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| 引用本文： | 虞红霞,王子亮. 我国开放式基金业绩中短期持续性实证研究[J]. 价值工程, 2006, 25(6): 123-126 |
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| 作者姓名： | 虞红霞 王子亮 |
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| 作者单位： | 山东大学管理学院,济南,250100;山东大学管理学院,济南,250100 |
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| 摘 要： | 本文利用收益自相关系数检验方法对我国开放式基金2002￣2004年的运营情况进行了业绩持续性评估,目的在于分析过去业绩对预测未来收益是否有帮助。实证结果表明,我国开放式基金风险调整的业绩在短期和中期并没有表现出持续性,更多的表现出反转现象,但是在统计上并不显著。
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| 关 键 词： | 持续性 自相关系数检验 风险调整收益 |
| 文章编号： | 1006-4311（2006）06-0123-04 |
Empirical Study in Short-Run Persistence of Chinese Open-end Funds |
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| Yu Hongxia,Wang Ziliang. Empirical Study in Short-Run Persistence of Chinese Open-end Funds[J]. Value Engineering, 2006, 25(6): 123-126 |
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| Authors: | Yu Hongxia Wang Ziliang |
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| Affiliation: | School of Management, Shandong University,Jinan 250010,China |
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| Abstract: | The paper analyzes the persistence of the open-funds' risk-adjusted returns from 2002-2004,aim at examining whether past performance is a good predictor of future performance .The empirical study assesses persistence in performance in the short term and medium term based on Autocorrelation Coefficient Test. And finds that performance reversals or nonpersistence is more likely, though not significantly. |
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| Keywords: | persistence autocorrelation coefficient testing rlsk-adjusted return |
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