A Study of the Relationship of Fund Characteristics and Fund Performance

摘要：

Most traditional studies on fund performance ignored some objective relationships between fund characteristics and fund performance.This study uses a group of balanced panel data of style-adjusted Jensen ratio as a dependent variable and 11 kinds of fund characteristics data as explanatory variables,and then makes a regression analysis using a fixed-effects model.The result shows that there exist fixed effects on time,but not on entity.Overall,four factors are significantly and positively related to the fund performance.Factors which significantly affect fund performance are different in rising and falling market conditions.

关键词： fund performance style-adjusted Jensen ratio balanced panel data fixed-effects model fund characteristics

作者: Guoling He Shuguang Zhang

作者单位: Department of Statistics and Finance,University of Science and Technology of China,Hefei 230026,China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 246-251

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）