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dc.contributor.advisor翁君奕
dc.contributor.author洪志
dc.date.accessioned2016-02-14T02:51:19Z
dc.date.available2016-02-14T02:51:19Z
dc.date.issued2005-06-07 17:21:25.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/29956
dc.description.abstract文章以2001年第三季度至2004年第二季度所有公布有完整投资组合的42只基金的12期各行业持股比重为样本数据,采用“动量投资测度”和“投资组合动量法”研究我国证券投资基金产业投资策略及其投资绩效,发现我国证券投资基金明显有根据当季度行业回报率进行动量投资和根据前一季度行业回报率进行反向操作的倾向,而且当期及滞后一期动量投资测度与基金业绩之间有显著的负向关系,特别是买入当期表现不佳行业和卖出前一期表现上佳行业的股票能够明显提升基金业绩。为揭示业绩背后的动因,文章根据行业对公共信息和行业专属信息的不同反应对基金持有股票的业绩进行了分解,将业绩来源划分为三部分:样本股票无条件期望收益率方差、行业领...
dc.description.abstractBased on quarterly industrial portfolio holding for 42 investment funds that all portfolio been publiced during 1 July 2001 to 30 June 2004,this study finds that investment funds are lag-0 momentum investment and lag-1 contrarian investment by “ momentum investment measure” and “portfolio change measure” . The result also show that there exist a significant negative relation between lag-0 momentum...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=9574&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=9747
dc.subject基金
dc.subject投资策略
dc.subject业绩评价
dc.subjectFunds
dc.subjectInvestment Strategies
dc.subjectPerformance Evaluation
dc.title证券投资基金产业投资策略及其业绩分解的实证研究
dc.title.alternativeAn Empirical Study on the Industrial Investment Strategies and Performance Decomposition of Secruities Investment Funds
dc.typethesis
dc.date.replied2005-06-07
dc.description.note学位:管理学硕士
dc.description.note院系专业:管理学院工商管理教育中心_企业管理(含财务管理、市场营销、人力资源管理)
dc.description.note学号:200215004


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