| 基金绩效评价的Fama-French三因素模型检验 |
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| 引用本文： | 屠新曙,朱梦.基金绩效评价的Fama-French三因素模型检验[J].广东金融学院学报,2010,25(1). |
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| 作者姓名： | 屠新曙 朱梦 |
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| 作者单位： | 华南师范大学经济管理学院,广东,广州,510006 |
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| 摘 要： | 通过Sharpe基金风格模型明确基金实际风格,并利用中信风格指数将Fama-French三因素模型应用于基金的绩效评价。在对30只基金两年周收益率数据进行实证研究后,结果显示FF模型3个系数显著性良好,基金风格特征得以表现;且FF模型更加准确,拟合程度较单因素模型有较大提高;同时单因素和FF三因素模型的Jenson指数说明基金具有获得超额收益率的能力。
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| 关 键 词： | 基金绩效评价 Fama-French“三因素”模型 Jenson指数 |
An Empirical Study on the Evaluation of Fund Performance Based on Fama-French"Three-factor" Model |
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| Tu Xinshu,Zhu Meng.An Empirical Study on the Evaluation of Fund Performance Based on Fama-French"Three-factor" Model[J].Journal of Guangdong University of Finance,2010,25(1). |
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| Authors: | Tu Xinshu Zhu Meng |
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| Institution: | School of Economics and Management;South China Normal University;Guangzhou 510006;China |
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| Abstract: | Using the Sharpe style model to ascertain fund's actual style, and taking advantage of CITIC-style index, this paper applies Fama-French three factors model to the fund's performance evaluation. After empirical study on two years of weekly yield data of 30 funds, the result shows that three coefficients' conspicuousness in F-F three factors model is well, the characteristics of fund style have good performance; and the F-F model is more accurate, is higher than Sharpe model in closeness of fit; at the same ... |
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| Keywords: | evaluation of fund performance Fama-French three-factor model Jenson index |
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