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基于赎回率的中国开放式基金业绩评价研究

发表时间:2008-05-15  浏览量:1570  下载量:789
全部作者: 都郁,金镝
作者单位: 大连理工大学经济系
摘 要: 本文基于开放式基金赎回率研究中国开放式基金的业绩表现,应用数据包络分析法对经营时间超过4年的30只开放式基金进行有效性分析,再运用熵权法对它们进行综合排名,最后得出对投资者和基金管理公司有参考意义的结论。开放式基金在证券市场中扮演着重要的角色,其业绩自然也就值得研究。遭遇大规模赎回本身就是一种流动性风险,从防范风险、提高业绩的目的出发研究开放式基金赎回率对其业绩的影响是必要的。赎回必然影响基金的效率,赎回也是多种因素综合在一起的结果。分析清楚赎回率对绩效的影响,将之用于开放式基金有效性检验和业绩排名中,可以帮助基金管理公司在管理上预防巨额赎回的风险,同时提高绩效。
关 键 词: 金融学;赎回率;业绩评价;数据包络分析;熵权
Title: Research on efficiency estimation of China open-end mutual fund based on withdraw rate
Author: DU Yu, JIN Di
Organization: Department of Economics, Dalian University of Technology
Abstract: This paper analyzes efficiency of China open-end mutual fund based on withdraw rate. Data envelop analysis is used to analyze the efficiency of all thirty open-end mutual funds which have been existing for more than four years. After that entropy weight is used to sort these funds ascendingly. At last it gives out useful conclusions to investors and fund managing company. Open-end mutual funds play important role in security market, so the effectiveness deserves a deep research. Facing a huge scale withdraw itself is a liquidity risk, for this reason it is very necessary to research the impact caused by withdraw rate on funds� efficiency. Withdraw is also a synthetic result, to analyze and use the results in efficiency testing and ranking is very helpful for mutual fund managing companies. They can improve their scores while predict huge withdraw risk.
Key words: finance;withdraw rate;efficiency estimation;data envelop analysis;entropy weight
发表期数: 2008年9月第9期
引用格式: 都郁,金镝. 基于赎回率的中国开放式基金业绩评价研究[J]. 中国科技论文在线精品论文,2008,1(9):1049-1057.
 
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