基金行为与基金业绩的日历效应

经济理论与经济管理 ›› 2008, Vol. ›› Issue (5): 39-45.

基金行为与基金业绩的日历效应

伏爱国

复旦大学管理学院上海 200433

收稿日期:2008-02-15 出版日期:2008-05-16 发布日期:2012-03-01

CALENDAR EFFECT OF FUND BEHAVIOR AND FUND ACHIEVEMENT

FU Ai-guo

School of Management, Fudan University, Shanghai 200433, China

Received:2008-02-15 Online:2008-05-16 Published:2012-03-01

摘要/Abstract

摘要： 运用混合数据对开放式基金的超额收益进行研究,可以发现基金超额收益存在日历效应,在季度末和年末基金的超额收益显著高于正常水平,而在下一个交易日出现反转。从行为金融的角度来看,这一日历效应可能是由于基金的主动行为所致,其背景是基金因博弈需要而采取的虚增业绩策略。

关键词: 开放式基金, 行为金融, 基金业绩, 日历效应

Abstract: When researching the extraordinary profit of open-ended fund with mixed data,we find there is calendar effect in extraordinary profit of funds,that is,the extraordinary profit at the end of the quarter and the year is notably higher than ordinary level,but the reversion will appear in next dealing day.Looking from the viewpoint of behavioral finance,the calendar effect may be the result of active behavior of funds,whose background is achievement exaggeration strategy due to the need of funds game.

Key words: open-ended fund, behavioral finance, fund achievement, calendar effect

中图分类号:

F830.91

伏爱国. 基金行为与基金业绩的日历效应[J]. 经济理论与经济管理, 2008, (5): 39-45.

FU Ai-guo. CALENDAR EFFECT OF FUND BEHAVIOR AND FUND ACHIEVEMENT[J]. Economic Theory and Business Management, 2008, (5): 39-45.

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