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ID:39402866
大小:548.50 KB
页数:73页
时间:2019-07-02
《基金管理者买卖行为的有效性分析》由会员上传分享,免费在线阅读,更多相关内容在行业资料-天天文库。
1、西南交通大学硕士学位论文基金管理者买卖行为的有效性分析姓名:段妮妮申请学位级别:硕士专业:会计学指导教师:朱宏泉20090601西南交通大学硕士研究生学位论文第11页AbstractWiththedevelopmentoftheFund,themeasurementofFund’Sperformanceandtheassessmentoftheabilityofthefundmanagersbecomesthetopicofgreatconcerntothemarket,investorsandresearchers.Inthisthesis,base
2、dontheexistingtheoryofresearchmethodsofthemeasurementofFund’Sperformanceandtheassessmentofmanagementcapabilitiesofthefundmanagers,weputforwardourownresearchmethods:throughconstructingthereturngap-thedifferencebetweenFund’Snetcapitalgainsanditsportfolioincome,weanalysetheopened—f
3、undmanagersintheeffortsofitsimpactonfundperformanceinChina’Sstockmarket.Firstofall,usingthecapimlassetpricingmodel(CAPM)andFama・・Frenchthree・-factormodelwemakestatisticalanalysisforthereturngapofsamplestoexploretheimpactoftheretumgapbythemarketfactor,thevaluefactorandthescalefac
4、torandfurtherstudyinthecontinuityandpredictabilityofthereturngap.Then,throughintroducingtherateofbuyingstocks,sellingstocks,bondtradingvolumeandthetotaltradingvolumeofsecuritiesoveraperiodoftime,weexploretheimpactofthemanagersoftheeffortstotheperformanceoftheFund;Subsequently,fu
5、rtheranalysisintheinfluencingfactorsofthedifferentmarketconditionsandportfoliocompositionismade.Concludedin2004to2007,ontheaverage,thereturngapofthesamples,wassignificantlygreaterthanzero,indicatingthattheefforts西南交通大学硕士研究生学位论文第lIl页offundmanagers,ingeneral,increaserevenueforthef
6、undinvestors.IftheinvestorssimulatetheportfolioofFundtoinvestinstocks,inthebearmarket,theiraverageretumislessthantheFund’Sincome,butinabullmarket,significantlygreaterthantheFund’Sincome,thedifferencetothebalancedfundswasparticularlyevident.Atthesametime,fundtypeandthesizehavethe
7、significantimpactonfundreturns.Keywords:open—fund;fhndmanagers;investmentbehavior;returngap西南交通大学曲南父遗大罕学位论文版权使用授权书本学位论文作者完全了解学校有关保留、使用学位论文的规定,同意学校保留并向国家有关部门或机构送交论文的复印件和电子版,允许论文被查阅和借阅。本人授权西南交通大学可以将本论文的全部或部分内容编入有关数据库进行检索,可以采用影印、缩印或扫描等复印手段保存和汇编本学位论文。本学位论文属于1.保密口,在年解密后适用本授权书;2.不保密影使
8、用本授权书。(请在以上方框内打“√")学位论文作者签名:%阮玩日期:I卅.7.wf指导老师签名
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