作　　者： ; ; ;

机构地区： 广东商学院金融学院

出　　处： 《管理评论》 2011年第12期3-9,共7页

摘　　要： 基金风格漂移、现金流波动与基金绩效之间存在复杂的联系。本文利用2003年底之前成立的52只开放式基金在2004-2008年期间的数据对这种相关性进行实证研究。结果发现:风格漂移在长期上显著削弱了基金绩效,现金流波动也在长期上对基金绩效具有显著的负面影响;从短期上看,风格漂移对基金绩效的影响随股市景气变化而变化;在熊市中,风格漂移有利于提升基金绩效,在牛市或由牛市转向熊市的过渡阶段,风格漂移对基金绩效有负面影响。 The links among style drift, fund flow and fund performance are complex. This paper investigates their relationship by using a sample of 52 funds which were set up before 2004, with the data from 2004 to 2008 collected and analyzed. The result shows that, in the long run, style drift is significantly and negatively related to fund performance, whereas the fund flow volatility significantly reduces fund performance. We also find that the relationship between fund performance and style drift varies with different kinds of market in the short run. Style drift enhances fund performance in the bear market, while style drift weakens fund performance in the bull market or when it is turning from the bull market to the bear market.

关 键 词： 风格漂移 现金流波动 基金绩效 风格分析

领　　域： [经济管理]