摘要
根据国际标准的模型计算方法,分别使用Jensen单因素指数和Fama&French(FF)三因素指数对中国证券投资基金进行了业绩评价.1999-2000年两年间的数据研究结果表明FF三因素模型的显著性和因素置信度都优于Jensen单因素模型,我国证券投资基金的收益率大致可以用FF指出的市场收益率、公司规模和账面市值比三个因素来解释.
This article analyzes the performance of Chinese mutual funds. We examine Jensen's alpha and Fama & French three-factor model for 33 mutual funds from 1999 to 2000. The result shows that the FF model is preferable to the Jensen model in the Chinese mutual fund market. Specifically, the return of the Chinese mutual fund can be explained by market premium, size, and book to market ratio.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2003年第10期30-35,共6页
Systems Engineering-Theory & Practice
