我国证券投资基金业绩评估体系及其实证研究

【作者】 马冬梅；

【导师】 冯俊文；

【作者基本信息】 南京理工大学 ， 产业经济学， 2003， 硕士

【摘要】 随着证券投资基金在我国的发展壮大，对于基金业绩进行评估的研究十分必要。本文权衡各主流基金业绩评估的差异以及我国独有的特点，探索和设计了一套能够真实反映我国投资基金运作状况的评估体系。 本文首先对基金的基本知识、理论基础和成熟的评估方法作了简要介绍，接着针对我国证券市场和投资基金的特点，建立了非常直观的评估体系。第四章笔者进行了实证研究，在对各参数进行合理选取的基础上，着重进行了基金收益率的过程中费用加回的处理和新股收益的剔除方法的设计。最后，对各个指标的实证结果进行相关性剔除并得到了综合评估结果。 通过本文的分析表明，证券投资基金作为深受欢迎的大众性投资工具，其业绩水平与广大投资者的预期有不小的差距。然而，目前中小投资者不能通过分散投资于构成市场组合的所有股票，所以持有证券投资基金仍是他们的最佳选择。更多还原

【Abstract】 With the development of the Chinese securities market, it has been of great necessity and urgency to study the investment funds. Taking into account the differences among performance evaluation models and Chinese exclusive characteristics, the author detects and designs a set of evaluation system which can reflect objectively Chinese conditions.Firstly, the author introduces briefly some basic knowledge, theory basis and mature evaluation methods, In the light of the characteristics of the Chinese securities markets and investment funds, we establish very ocular evaluation system. In the empirical studies of part four, the author studies emphatically on how to add back the management expense and deducts the gains from private selling of new shares on basis of rational choosing to parameter. Last the writer rejects relativity to empirical results of indices and receives synthetical evaluation results.The results of this paper show the Chinese securities investment funds as a welcome investment tools, whose performance levels of were not so good as they were expected. Nevertheless, at present middle and small investors cannot disperse risk through investing all the shares that construct the composite market index. So they had better hold securities investment funds.更多还原