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本文以国内指数分级基金为样本,采用技术分析方法来判断指数分级基金所标的指数的短期趋势,利用分级基金的杠杆,证明中国股票市场的确存在短期的惯性效应;运用CAPM模型以及Fama-French三因子模型对超额收益进行风险调整后,发现存在与短期趋势相关的异常收益,价值型基金的收益要优于成长型基金,中小规模基金的收益要优于大规模基金。
In this paper, the domestic index grading fund as a sample, the use of technical analysis to determine the short-term index index index index grading trend, the use of graded fund leverage to prove that China’s stock market does exist short-term inertia effect; the use of CAPM model and Fama-French three After adjusting the risk of excess returns, the factor model finds abnormal returns related to short-term trends. The returns of value-based funds are superior to those of growth-type funds, and the returns of small and medium-sized funds are superior to those of large-scale funds.