performance+persistence+of+mutual+funds+in+china+market

《performance+persistence+of+mutual+funds+in+china+market》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、论文指导小组成员洪剑峭教授ProfessorDavideMasperoProfessorMarcoNavoneI⋯嘶吼⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．Z～㈣(．．1Chapter1：AbriefintroductionofChinamutualfundmarket．．．．．．．．．．．．．．．．．．·········4Chapter2：Theoryreviewofperformancepersistence．．．．．·································，2．1D

2、efinitionofmutualfundperformancepersistence⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯·72．2Measurementofmutualfundperformance⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯··72．3Theoriesonperformancepersistence⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯132．4SummaryofthestudiesonChinamutualmarket⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯

3、⋯⋯⋯⋯⋯22Chapter3：short—termperformancepersistenceinChinamarket．⋯⋯．．．．．⋯．⋯．⋯243．1Memodology⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯”243．2DescriptiveanalysisofPerformancepersistenceunderdifferentfactormodels⋯⋯⋯⋯⋯·253．3Regressionmodeltotesttheperformancep

4、ersistence⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯·j芍Chapter4：long．termperformancepersistenceandmanagerskills⋯⋯⋯⋯一⋯⋯454．1signofmarkettimingability⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯·454．2testthe3yearperformancepersistence⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯46Conclusions⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯

5、⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯48Ref-erence：⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯50Table3．hNumberoffundsthatoperatethroughouttheyearfrom2005to2009⋯⋯⋯⋯⋯⋯⋯⋯⋯283．2descriptiveanalysisbySPSSofthe5portfolios’andthemarketreturns(in％)⋯⋯⋯⋯⋯⋯283．3performancepersistencemeas

6、urementmodelsummarystatistics．．．．．．。．．．．．．．．．．．．．．．．．．．．．．．．．．．．293．4Statisticsofcross-sectionalregressionbetweenexcessportfoliol'etumsandmarketexcessreturnusingCAPM．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．

7、．．．．．．．．．．．．．．．．293．5Statisticsofcross-sectionalregressionusingthree-factormodel．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．303．6Statisticsofeross-sectionalregressionusingfourfactormodel．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．31Figure3．1：TheChinaStockmarkettre

8、ndfromJanuary2005toMay2009⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．．333．7DescriptivestatisticsofPltoP5andCSl800inthreeperiodsdividedbytheChinastockmarketturningpoints．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．⋯．．．．．．．．．．．．：}—I3．8