我国股票型开放式基金绩效来源分析-基于改进的Carhart四因素模型的实证研究
nalysis of the source of open-end stock fund performance：An Empirical Research of improve Carhart four-factor Model
为更加准确的评估我国股票型开放式基金的绩效来源，本文在传统Carhart四因素模型的基础上，将基金业绩比较基准加入模型，运用统计分析和回归分析的方法进行研究。通过实证分析发现：总体上看，我国股票型开放式基金具有整体上也具有一定的选股择时能力，但用传统Carhart四因素模型进行绩效评估会高估基金经理的选股择时能力。
o assess accurately the source of funds performance, this paper adds fund self-reported benchmark into the four-factor model based on the traditional Carhart four-factor model, with the methods of statistical analysis and regression analysis. Through the study we find: open-end stock funds have a certain stock picking ability and timing ability, but the traditional Carhart four-factor model overestimates the picking ability and timing ability of fund managers.
王伟、刘金山
财政、金融
股票型开放式基金选股能力择时能力arhart四因素模型
open-end stock fundstock picking abilitytiming abilityCarhart four-factor model
王伟,刘金山.我国股票型开放式基金绩效来源分析-基于改进的Carhart四因素模型的实证研究[EB/OL].(2016-01-12)[2025-08-23].http://www.paper.edu.cn/releasepaper/content/201601-237.点此复制
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