中國開放式基金績效的實證研究.pdf

1、X951503後旦大擎碩士學位論文學校代碼：10246學號：032015216中國開放式基金績效的實證研究院系：經(jīng)濟學院專業(yè)：數(shù)量經(jīng)濟學姓名：樊冰清指導教師：謝識予教授完成日期：2006年4月27日●●●●●復旦大學碩士學位論文AbstractAlongwiththegraduallyconsummationofourfinancialmarketandgrandnessofinvestmentfIlnd’sscaleitisrequi

2、sitetoexecuteevaluationsoninvestmentfundperformances，whichcannotonlyobjectivelyreflecttheoperationperformanceofinvestmentfund，stimulatefundmanagers’enthusiasm，butalsoleadpublicinvestorstowiseinvestmentdecisionsInordertoi

3、nvestigatetheactualperformancesofinvestmentfundinChinathisarticle，throughempiricalanalysisontheperformancesofsecurityopenendedinvestmentfundwhichhaveestablishedformorethantwoyeatsjustifledtheireffortsoninvestmentprofitab

4、ilityandriskavoidance，andputforwardpolicyimplicationsThisarticlebrieflyintroducedtheconceptsanddevelopmentofsecurityinvestmentfund，andthenreviewedwesternclassicfundperformanceevaluationsystemsandindicatorsAftermaLaccordi

5、ngtocharacteristicsofChina’sInvestmentFundIndustryitcomparedtheabsoluteratesofreturnratesofretumafterriskadjustment，andcapabilitiesofpickingstocksandinvestmentopportunitiesamongvariousfundsinselectedtimeperiods，and，based

6、onthis，appliedconditionalmodelonthewholefundmodeltoinvestigatethecapabilitiesofpickinginvestmentopportunitiesMoreoveritusedpaneldatatoanalyzetheimpactoffundmanagers’frequentalteration011fundperformancesByusingclusteringm

7、ethod，itgotthecomprehensiveresultoftheclassificationofthefundsFinallyitprovidedpolicyadviceonthebasisofempiricalresultsKeywords：Open—endedinvestmentfundPerformanceevaluationEmpiricalanalysisPanelregressionClassifymethodG