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期间交易及其对基金业绩的影响 Interim Trading and Its Effects to Fund Performance

Author(s): 胡畏

Journal: Finance
ISSN 2161-0967

Volume: 02;
Issue: 02;
Start page: 115;
Date: 2012;
Original page

Keywords: 期间交易 | 持股数据 | 基金业绩 | Interim Trading | Stock-Holding Data | Fund Performance

基于净值数据的基金业绩评价方法忽略了基金所持股票的特性,而基于持股数据的评价方法则不能反映基金在两次信息披露之间的期间交易行为。本文结合国内投资基金的净值数据和持股数据,专注于对两次信息披露之间的期间交易行为进行考察,发现在不同的基金之间期间交易的强度有持续性,但有成效的期间交易没有表现出持续性,而高强度的期间交易未必能给基金带来好的业绩。The characters of fund holding stocks were ignored in the performance valuation approaches based on net value data of funds, while approaches based on stock-holding data cannot catch the interim trading of funds between the disclosure dates. This paper, using both net value data and stock-holding data, focuses on the interim trading of Chinese investment funds. We found that the strength of interim trading among funds persists, but beneficial interim trading shows no persistence, and more interim trading does not mean better performance.
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