中國證券投資基金的風(fēng)格識別及風(fēng)格調(diào)整績效的實證研究.pdf

1、上海大學(xué)碩士學(xué)位論文中國證券投資基金的風(fēng)格識別及風(fēng)格調(diào)整績效的實證研究姓名：馬繼洲申請學(xué)位級別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：陳湛勻20051201!：塑查蘭堡二!蘭篁笙苧!里i!塑墼窒莖壘竺璺塑望型墨墨豎塑鱉墮墊塑壅堡型墨ABSTRACTBeginningwiththeintroductionofthemutualfunds，thispaperdiscussestheproblemsontheinvestmentstyleoftheChi

2、nesemutualfundsboththeoreticallyandpracticallyandputforwardsystematic“analysismethodsandpracticesuggeshonsfortheinvestorsIntheoreticaspects，theauthordefinestheinvestmentstyleofthemutualfundsasthedifferencesproducedinthep

3、ortfolioconstructionprocesstomeetthemarketsituationsandtheinvestors’demandsOriginatedfromcertaininvestmentconceptandstrategyitguidesthefundtransactionsinthecapitalmarket，andinfluencestheperformanceandthedealingpricesInad

4、dition，thispaperanalyzestherecognitiontheoriesoftheinvestmentstylesofthemutualfunds，oneofwhichistheportfoliobasedstyleanalysis，ietheAmericanMorningStarstyleboxmethod，theotheristhereturn—basedstyleanalysis，ieSharpmultifac

5、torrecognitionmodelandGruberregressionmodelInpracticalaspects，theauthorfirstlyintroducesthemarketperformance，theevolutionoftheinvestmentstyleoftheChinesemutualfunds，andthereasonsofdevelopmentConsideringtheiractualperform

6、anceandtheirdisparitiestothefundcontracts，itisnecessarytecognizetheinvestmentstyleofvariousmutualfundssSecondlyinSharpmultiplerecognitionmodel，theauthorselects15securitiesinvestmentopen—endedfundsbefore313‘December2002in

7、theChinesecapitalmarket，uses6Zhong—xinstyleindexesandthebondindexestomakedouble。planningtotheearningsrateofeachselectedfund，soastecognizethespecificinvestmentstyleofthesamplefundAlso，basedontheresearchcontinuitNtheauthor

8、makesperformanceassessmentafterdoingsomestyleadjustments，andanalyzestheconformabilityofthegeneralperformance，therisk‘a(chǎn)djustedperformanceandthestyle—adjustedperformanceTheinnovativepartsofthispaperareasfollows：(1)Thepersp