Economic Theory and Business Management ›› 2012, Vol. 32 ›› Issue (2): 54-60.
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LI Feng 1, SONG Yu-Hua 2
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李锋1, 宋玉华2
作者简介:
基金资助:
国家社会科学基金重点项目(07AGJ002)
Abstract: This paper applied the method of event study to study the investments by China sovereign wealth funds and their economic effects and investment performance After building up the datebase of Chinas four SWFs which preceded 28 items of investments to target domestic and foreign listed companies from Dec 2007 to Jun 2010, this paper tested the abnormal return of the investment behaviors by Chinas SWFs by calculating AAR and CAAR At the same time, the longterm investment performances of Chinas SWFs were disclosed by using the methods to measure longterm effect
Key words: sovereign wealth funds (SWFs) , China , investment performance , event study
摘要: 本文利用事件研究法(event study)实证研究了中国主权财富基金的投资绩效。在整理中国四家主权财富基金2007年12月—2010年6月进行的28项国内外上市公司投资数据的基础上,通过计算平均异常收益(AAR)和累积平均异常收益(CAAR)等指标,对目标公司在投资宣布日附近的股价异常波动情况进行估计和检验。同时,利用长期效应度量方法来度量中国主权财富基金投资行为的长期绩效。
关键词: 主权财富基金 , 中国 , 投资绩效 , 事件研究法
LI Feng 1, SONG Yu-Hua 2. A STUDY ABOUT INVESTMENT PERFORMANCE OF CHINA SOVEREIGN WEALTH FUNDS[J]. Economic Theory and Business Management, 2012, 32(2): 54-60.
李锋1, 宋玉华2. 中国主权财富基金的投资绩效研究[J]. 经济理论与经济管理, 2012, 32(2): 54-60.
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http://jjll.ruc.edu.cn/EN/Y2012/V32/I2/54