| 风格漂移、现金流波动与基金绩效之关系研究 |
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| 引用本文： | 郭文伟,宋光辉,许林.风格漂移、现金流波动与基金绩效之关系研究[J].管理评论,2011(12). |
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| 作者姓名： | 郭文伟 宋光辉 许林 |
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| 作者单位： | 广东商学院金融学院;华南理工大学工商管理学院;华南理工大学经济与贸易学院; |
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| 基金项目： | 教育部人文社科基金项目(10YJA630131); 中央高校基本科研业务费专项资金(x2jmD2118850) |
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| 摘 要： | 基金风格漂移、现金流波动与基金绩效之间存在复杂的联系。本文利用2003年底之前成立的52只开放式基金在2004-2008年期间的数据对这种相关性进行实证研究。结果发现:风格漂移在长期上显著削弱了基金绩效,现金流波动也在长期上对基金绩效具有显著的负面影响;从短期上看,风格漂移对基金绩效的影响随股市景气变化而变化;在熊市中,风格漂移有利于提升基金绩效,在牛市或由牛市转向熊市的过渡阶段,风格漂移对基金绩效有负面影响。
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| 关 键 词： | 风格漂移 现金流波动 基金绩效 风格分析 |
An Empirical Study on the Relationship among Style Drift,Fund Flow Volatility and Fund Performance |
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| Guo Wenwei,Song Guanghui , Xu Lin.An Empirical Study on the Relationship among Style Drift,Fund Flow Volatility and Fund Performance[J].Management Review,2011(12). |
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| Authors: | Guo Wenwei Song Guanghui Xu Lin |
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| Institution: | Guo Wenwei1,Song Guanghui2 and Xu Lin2(1.Finance Department,Guangdong University of Business Studies,Guangzhou 510320,2.School of Business Administration,South China University of Technology,Guangzhou 510641,3.School of Economics and Commerce,Guangzhou 510006) |
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| Abstract: | The links among style drift,fund flow and fund performance are complex.This paper investigates their relationship by using a sample of 52 funds which were set up before 2004,with the data from 2004 to 2008 collected and analyzed.The result shows that,in the long run,style drift is significantly and negatively related to fund performance,whereas the fund flow volatility significantly reduces fund performance.We also find that the relationship between fund performance and style drift varies with different kin... |
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| Keywords: | style drift fund flow volatility fund performance style analysis |
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