| 基于CAPM理论的证券基金绩效分析 |
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| 引用本文： | 李福宏,陈忠阳. 基于CAPM理论的证券基金绩效分析[J]. 北京理工大学学报(社会科学版), 2010, 12(6): 69-71,81 |
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| 作者姓名： | 李福宏 陈忠阳 |
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| 作者单位： | 1.中国人民大学 财政金融学院， 北京 100872 |
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| 摘 要： | 结合CAPM理论下的单因素绩效评价模型，以及择时选股能力评价模型，可以对我国证券投资基金进行实证分析。可信的数据拟合度证明了所选取的模型是适用于我国的基金市场的。模型分析发现，目前我国证券投资基金总体表现上没有超过市场基准业绩，基金基本不具有选股能力，择时能力甚至为负，目前我国证券投资基金收益的来源主要是市场组合的平均收益。
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| 关 键 词： | 基金业绩 市场收益 非系统性风险 |
| 收稿时间： | 2010-09-13 |
CAPM-Based Analysis on the Performance of Investment Funds around China |
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| LI Fu-hong and CHEN Zhong-yang. CAPM-Based Analysis on the Performance of Investment Funds around China[J]. Journal of Beijing Institute of Technology(Social Sciences Edition), 2010, 12(6): 69-71,81 |
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| Authors: | LI Fu-hong and CHEN Zhong-yang |
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| Affiliation: | 1.The School of finance,Remin univesity of China, Beijing 100872 |
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| Abstract: | One-factor performance evaluation model with CAPM theory and investment timing evaluation model are utilized in this paper to practically analyze securities investment funds around China.The result of testing goodness of fit proves the model＇s applicability in Chinese fund market.,The performance evaluation indicates the general investment is lower than the performance benchmark.Correspondingly,funds gain limited capacity of security selecting,even negative when period taken into consideration.Finally,the benefit resource of securities investment funds in China is average benefit from marketing-mix |
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| Keywords: | fund performance market returns unsystematic risk |
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