3 31 Kaminsky et al Franck et al Fama French 1996 Fama - French FF3 Wu et al Kubińska 2012 Asem Tian 2011 Balvers Wu 2006 Akarim Sev

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尤鞍戴
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1 27 3 Vol. 27 No Research of Finance and Education June 吴栩, 陈敏鹏投资者对简单易行的投资策略梦寐以求本文在股票价格具有惯性和明星基金具有股票选择能力的现实情况下, 设计了一种简单易行的克隆明星基金投资策略, 并以实际的金融数据对该种投资策略的有效性进行了实证分析结果表明 : 该策略能够产生较好的投资收益, 投资者利用该策略进行投资是有效的克隆明星基金 ; 价格惯性 ; 股票选择能力 : G11,G14,C53 : A : ( 2014) YJC GD13YGL ZB0016 Franck et al Momen - tum Effect Franck et al Fama 1970 Efficient Market Hypothesis EMH Jegadeesh Titman 1993 EMH Asness et al Franck et al Grinblatt Keloharju

2 3 31 Kaminsky et al Franck et al Fama French 1996 Fama - French FF3 Wu et al Kubińska 2012 Asem Tian 2011 Balvers Wu 2006 Akarim Sevim 2013 Bauer et al Fama et al Myers et al Baker et al Hayes 2012 Tupitsyn et al N Fund i i = 1 N. Fund i t Stock j i t j = 1 10 Stock j i t w j i t t Rank t i i = 1 N. N * = int 5% N + 1 int t 5% Fund i i = 1 N * t Fund i1 Fund in i 1 i n 1 N * i 1 < < i n M 10N *. Stock j 1 i 1 t Stock j n i n t Stock j 1 i 1 t. t t + 1 t t Stock j i t SRank t i = Stock j i t Fund i i N* w j i t W t i 1 Stock j i t Rank t i t W t i

3 W t i = f Rank t i = 2 N* - i + 1 N * N * + 1 i = 1 N* 2 SRank t i Stock j i t j = 1 10 i = 1 N * Stock t k k = 1 M. t + 1 SRank t i t - t + 1 t SRank t i t Ret m = Nav m - 1 Nav Nav m Nav m-1 m-1 m m

4 Franck et al SRank t i 1. J Akarim Y. D. and Sevim S. The impact of mean reversion model on portfolio investment strategies Empirical evidence from emerging markets J. Economic Modelling Asem E. and Tian G. Y. Market Dynamics and Momentum Profits J. Journal of Financial and Quantitative A- nalysis Asness C. S. et al. Value and Momentum Everywhere J. The Journal of Finance Baker M. et al. Can Mutual Fund Managers Pick Stocks Evidence From Their Trades Prior To Earnings Announcements J. Journal of Financial and Quantitative Analysis Balvers R. J. and Wu Y. Momentum and mean reversion across national equity markets J. Journal of Empirical Finance Bauer R. et al. New Zealand Mutual Funds Measuring Performance And Persistence In Performance J. Accounting & Fina Fama E. F. Efficient Capital Markets A Review of Theory and Empirical Work J. The Journal of Finance Fama E. F. and French K. R Multifactor Explanations of Asset Pricing Anomalies Returns J. Journal of Finance Fama E. F. and K. R. French. Luck Versus Skill In The Cross - Section Of Mutual Fund Returns Journal of Finance

5 Franck A. et al. Momentum strategies of German mutual funds J. Financial Markets and Portfolio Management Grinblatt M. and Keloharju M. What Makes Investors Trade J. The Journal of Finance Hayes B. T. On The Market - Timing Ability Of Factor - Based Hedge Fund Clones J. The Journal of Alternative Investments Jegadeesh N. and Titman S. Returns to buying winners and selling losers implications for stock market efficiency J. The Journal of Finance Kaminsky G. et al. Managers Investors and Crises Mutual Fund Strategies in Emerging Markets J. Journal of International Economics Kubińska E. et al. Disposition Effect Among Contrarian and Momentum Investors J. Journal of Behavioral Finance Myers M. M. et al. Copycat Funds Information Disclosure Regulation And The Returns To Active Management In The Mutual Fund Industry J. Journal of law and economics Tupitsyn M. et al. Hedge Funds Replication and Nonlinearities in Alternative Investments Instruments Performance Benchmarks and Strategies M Eds. by Kent Baker H. and G. Filbeck New York John Wiley & Sons Inc. 19 Wu Y. et al. Do Low - priced Stocks Drive Long - term Contrarian Performance on The London Stock Exchange J. Financial Review Study on the Building and Effectiveness of Clone Star Fund Investment Strategy WU Xu CHEN Minpeng School of Business Administration South China University of Technology Guangzhou Guangdong China Abstract Investors yearned for simple investment strategy. This paper proposes a clone star fund investment strategy based on the momentum of stock price and the stock selection ability of star funds and makes an empirical analysis on the effectiveness of this strategy based on actual financial data. The results show that the strategy can produce better returns it is an effective investment strategy for investors. Key words Clone Star Fund Price Momentum Stock Selection Ability ( 责任编辑 : 黎芳 )

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