基金绩效与股票质地的互动分析

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亦烘双
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1 CAPM CAPM T-M H-M Randolph Cohen Joshua Coval Lubos Pastor % 3 4 q

2 2

3 CAPM - Fama-French Carhart Sharpe CAPM Without Benchmark MeasureT-M H-M 3

4 2. 4

5 2002 Randolph Cohen Joshua Coval Lubos Pastor M m=1,,m N n=1,,n w m,n m n δ m mn n M δ = v δ 1 m= 1 m, n m v mn, w = 2 mn, M m= 1 w mn, δ * m N = wm, nδ n 3 n= δ * m δ m Cohen δ n δ m Cohen 5

6 Jensen s alpha 13 $ * N m wmn, δ n n= 1 δ = 4 n M δ = v $ δ m 5 $ δ m m= 1 m, n m Jensen s alpha 45 $ δ m $* δ m $ δ m Cohen h n M n h M wmn, = = w m= 1 n N M n= 1 m= 1 mn, M w m 1 mn, = 6 M W N*Mw m,n V N*Mv m,n $ δ { $ δ m} M m = 1 M*1 δ { δ n} N n = 1 N*1 $* δ $ δ * m = 1 { m} M $ * M*1 δ =W δ,δ =V $ δ 4 $ δ* = Z$ δ 7 Z=W V m 6

7 $ * M m z $ m, jδ j j= 1 δ = 8 z m, j Z m, j. 26 N N 1 z = w v = w w 1 9 m, j mn, jn, mn, jn, n= 1 M n= 1 hn Cohen $* δ m 1 jz m, j m j mj m j 9 1/h n Z z i, j = z j, i 9 Cohen 1 M * $ 1 M M $ 1 M $ M 1 M δ $ i = zi, jδ j = δ j zi, j= j M M M M 1 δ (10) i= 1 i= 1 j= 1 j= 1 i= 1 j= Cohen Cohen Cohen z = w w = w w = w M M N N M N, = m, j mn, jn, mn, jn, mn j= 1 j= 1 n= 1 Mhn n= 1 Mhn j= 1 n= 1 7 1

8 Cohen Cohen M N r n = α + e n=1, N 11 n n 8

9 α n en αn N 2 σ N(0, σ ) α n 2 (0, α ) e e n e n α γ m α s mn, = α n un u n γ m 1-γ m n m 12 γ m γ m γ m γ m = qg+ (1 q) gm m=1,,m 13 g g γ q m m q 12 γ m σ e α n Bayes Rule α n m n E = γ s 14 mn, m mn, n V = σ + σ + γ ( s σα ) s γ mn, e a m mn, mn, m Sharp Ratio m n w V E, 16 1 mn, mn. mn 9

10 0 m δ m = w α 17 ' m α α N 1 2 δ ' δ m = wr m 18 r r N 1 δ * m * m m n δ = Z δ 19 Z m 7 Z m 3 19 δ δ δ *i m 19δ δ * m δ * i * m Zmδ ZmZ = = δ 20 population version δ * * δ = δ 21 Z m µ* δ 10

11 10000 M N q σ α = 0.1 σ = 0.2 e δ δ δ * δ *i δ * γ 1 γ γ 1 δ * δ γ M=10 q q=0 γ δ *i γ δ * δ δ * γ δ * 11

12 1 q q=0 M=100 N=10 δ * N=100 δ * M * δ δ *i δ q=0 q=0.4 q=0.8 δ * δ δ * δ *i δ N=10 δ * δ δ * δ *i δ δ * δ N= N=

13 Cohen Jensen s alpha Jensen s alpha Jensen s alpha β Jensen s alpha 13

14 $* δ m $* δ m 7 Speraman Spearman 14

15 2 $ δ $ * δ 15

17 Spearman %

18 90% % ,

19 % t q

20 *** *** *** *** ** * ** ** *** ** *** *** *** *** ** ** *** *** ** ** *** *** ** ** * ** ** ** ** ** ** * ** * ** ** * * *** *** ** * ** ** ** * ** * ** * * ** * *** ** * * ** ** *** *** * * * ** *** * ** ** *** *** *** ** * * *** *** ** *** ** *** ** * ** * *** ** ** ** t * p [0.9,0.95] ** p [0.95,0.99] * p >0.99

23 %

24 q

25 1. Baks, Klaas P., 2002, On the performance of mutual fund managers, Working paper, Emory University. 2. Bollen, Nicolas P.B., and Jeffrey A. Busse, 2002, Short-term persistence in mutual fund performance, Working paper, Vanderbilt University. 3. Busse, Jeffrey A.., and Paul J. Irvine, 2002, Bayesian alphas and mutual fund persistence, Working Paper, Emory University. 4. Carhart, Mark M., 1997, On persistence in mutual fund performance, Journal of Finance. 5. Chen, Hsiu-Lang, Narasimhan, Jegadeesh, and Russ Wermers, 2000, The value of active mutual fund management: An examination of the stockholdings and trades of fund managers, Journal of Financial and Quantitative Analysis 35, Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 1996, The persistence of risk-adjusted mutual performance, Journal of Business 69, Ferson, Wayne E., and Kenneth Khang, 2002, Conditional performance measurement using portfolio weights: Evidence for pension funds, Journal of Financial Economics 65, Grinblatt, Mark, and Sheridan Titman, 1989, Mutual fund performance: An analysis of quarterly portfolio holdings, Journal of Business. 9. Grinblatt, Mark, and Sheridan Titman, 1992, The persistence of mutual fund performance, Journal of Finance. 10. Hong, Harrison, Jeffrey D. Kubik, and Jeremy C. Stein, 2002, The neighbor s portfolio: Word-of-mouth effects in the holdings and Trades of money managers, Working paper, Stanford University. 11. Jones, Christopher S., and Jay Shanken, 2002, Mutual fund performance with learning across funds, Working paper, University of Southern California. 12. Pastor, Lubos, and Robert Stambaufh, 2002, Mutual fund performance and seemingly unrelated assets, Journal of Financial Economics 63, Randolph Cohen, Joshua Coval, and Lubos Pastor, 2002, Judging fund managers by the company they keep, Working paper, NBER. 14. Stambaugh, Robert F., 2002, Inference about survivors, Working paper, Wharton. 25

26 15. Wermers, Russ, 2000, Mutual fund performance: An empirical decomposition into stock-picking talent, style, transaction costs, and expenses, Journal of Finance. 26

上证联合研究计划第二期课题

上证联合研究计划第二期课题 (a) 1 1 1.1 1.2 2 2.1 2.2 3 3.1 3.2 3.3 3.4 4 4.1 4.2 1999 4.3 2000 / 4.4 5 5.1 5.2 5.3 5.4 6 6.1 6.2 6.3 7 7.1 7.2 2 1999 2000 / 3 1 1.1 1997 11 2 3 1998 3 27 20 1 5 1998 3 27 20 3 3 20 2 5 1999 5 5 20