The Imperical Study of Performance Persistence on Closed-end Funds in China

本文以我国2000-2004年的20只封闭式基金为样本,对我国基金收益率的持续性进行研究,发现基金收益 率的持续性不能用基金收益率的标准差来解释,也不能用基金收益率的标准差与基金所投资的股票的规模一起解释。笔 者认为可能的原因是中国的证券市场还不成熟,还未形成规范化的基金市场;研究的数据有限;我国封闭式基金的费用率 没有差别。In this paper, the authors research the persistence of performance on closed-end funds in China from the year 2000 to 2004, in the way which have been successfully proved overseas. The results include three parts. The first part is the performance persistence on closed-funds not being explained by the deviation of the funds' return. The second part is the performance persistence on closed-funds also not being explained by the deviation of the funds' return and the size of the stocks invested by funds. The last part is some persistence of performance on closed-funds being explained by the deviation of the funds' returns, the size of stocks invested by funds, and the style of funds. The reasons of the listed results are Chinese immature capital market, limited data, and same expended rates