Performance Evaluation of Chinas Open-end Stock Fund-Based on APT Three Factor Model
We evaluated the performance of openend stock fund using the sample of 53 China’s funds over the period from January 2009 to December 2011.In this paper,we use APT three factor model to evaluate the performance of the 53 China’s openend stock funds.The results indicate that funds portfolio is difficult to go beyond the market benchmark returns,largely in line with the efficient market hypothesis theory;From the point of the risk,the 53 open-end stock funds undertake a greater systematic risk than benchmark portfolio risk,and investment style of these funds has the convergence characteristic.We expect to help investors make a correct judgment and choice by ranking the funds returns,distinguishing the funds investment style and showing clear the funds risk.
stock open-end fund performance evaluation APT three factor model
LIU Yifang HUANG Zheng LI Jiangna
School of Business,Northeast Normal University,Changchun,China,130117
国际会议
大连
英文
389-395
2013-06-29(万方平台首次上网日期,不代表论文的发表时间)