论文部分内容阅读
本文选取2008年7月之前成立的161只偏股型基金,借助Volkman五因素模型对样本基金的实际投资风格进行识别,并对基金在一年期和两年期时间窗口的漂移次数进行统计。采用Poisson回归系统性地检验了基金历史业绩与风格漂移频率之间的关系,并采用OLS回归检验基金风格漂移频率对基金未来业绩的影响。本文实证结果表明:基金历史业绩对本期风格漂移频率有负向影响;而基金本期的风格漂移频率对基金未来期间业绩有正向影响。
In this paper, 161 partial stock funds established before July 2008 are selected. The Volkman five-factor model is used to identify the actual investment style of the sample funds, and statistics are made on the number of drift of the funds in the one-year and two-year time windows. We use Poisson regression to systematically test the relationship between fund historical performance and style drift frequency, and use OLS regression to test the influence of fund style drift frequency on fund future performance. The empirical results show that the historical performance of the fund has a negative impact on the frequency of style drift in the current period; and the frequency of style drift of the current period has a positive impact on the performance of the fund in the future.