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基金持股与股价波动性研究:基于业绩报酬设计的期权分析
引用本文:蔡庆丰.基金持股与股价波动性研究:基于业绩报酬设计的期权分析[J].河北经贸大学学报,2003,24(5):46-50.
作者姓名:蔡庆丰
作者单位:厦门大学,福建厦门,361005
摘    要:从期权思想的角度分析,我国投资基金的业绩报酬类似于一个基于投资组合的看涨期权,其价值和波动率成正向关系。这容易导致基金管理公司通过投资波动率大的股票或利用其信息和资金优势加大股票波动率以获得超额收益。通过实证检验我们发现,1999年1季度到2000年3季度期间,我国的投资基金持股和股价波动性存在着正相关关系。而这种正相关关系又体现为基金持股后加大股价的波动性。

关 键 词:期权分析  基金  业绩报酬  风险偏好不一致  波动率
文章编号:1007-2101(2003)05-0046-(05)
修稿时间:2003年2月26日

The Relationship between Fund Ownership of Shares and the Fluctuation of Share Prices
CAI Qing-feng.The Relationship between Fund Ownership of Shares and the Fluctuation of Share Prices[J].Journal Of Hebei University Of Economics and Trade,2003,24(5):46-50.
Authors:CAI Qing-feng
Abstract:Analyzing from the perspective of option, performance return in China's investment fund is something like the bullish option based on investment combination, whose value has a positive correlation with the fluctuation of share prices. But to obtain excessive profits, fund management companies tend to invest in the sharp fluctuated shares or aggravate the fluctuation of shares with their own information and capital advantages. Through empirical study, it is found that, from the 1st quarter of 1999 to the 3rd quarter of 2000, there has been a positive correlation between the fund ownership of shares and the fluctuation of share prices. In return the positive correlation will aggravate the fluctuation of share prices, which is just the reflection of such positive correlation.
Keywords:option analysis  fund  performance return  risk aversion disagreement  fluctuation rate
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