我国基金投资风险的实证分析

195 2年 ,亨利·马柯维茨提出了系统的资产组合理论 ,并用数量化的方法提出了确定最佳证券组合的模型 ,开创了对模型进行整体管理的先河。 196 3年 ,他的学生威廉·夏普对模型进行了简化 ,并提出资产定价的均衡模型—CAPM ,界定了风险与回报率之间的关系 ,使该组合理论应用于实际市场成为可能。但是 ,在CAPM理论的研究领域 ,不断出现一些实证研究的成果显示 :投资收益并不总是存在由该理论描述的那种与 β系数之间的联系。模型的有效性受到怀疑。本文检验CAPM在我国基金市场的有效性。检验结果表明 ,在本文研究的 2 0 0 0年 4月至 2 0 0 2年 5月间 ,基金投资的收益与风险之间存在一定的正相关关系 ,但并不是CAPM预期的完全线性关系。

Analyzing the Risk on Domestic Funds

In 1952, Markowitz advanced the theory of optimal portfolio using econometric methods, and inaugurated a new era in portfolio management. In 1963, Sharpe brought a simplified model forward. The model(Capital Asset Pricing Model ) was used to scale the relationship between return and risk. Subsequently, some researches results showed that the relationship described in CAPM was not always existed. The efficiency of the model was doubted. This article testes the efficiency of CAPM in fund mark in China. The result indicates that a positive correlativity exists between return and risk on investments in domestic funds, but it is not a linear relation as exactly as CAPM expected.