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针对时间序列回归方法对Carhart四因素模型参数估计不够精确的缺陷,提出一种利用改进的遗传算法来优化四因素模型参数的方法,获得了更为精确的模型.基于此模型,以2003年1月至2007年9月我国开放式基金月度数据为样本,对我国开放式基金市场的价值溢价进行了深入研究.实证结果表明:我国开放式基金市场存在明显的价值溢价,并且高市值基金价值溢价比低市值基金更为显著,但开放式基金市场整体价值投资理念尚未真正形成.
Aiming at the defect that the time series regression method is not accurate enough to estimate the parameters of Carhart four-factor model, a method of optimizing the parameters of four-factor model by using the improved genetic algorithm is proposed and a more accurate model is obtained.Based on this model, From January to September 2007, the monthly data of China’s open-end funds were taken as samples to conduct an in-depth study on the value premium of China’s open-end fund market.The empirical results show that there is a clear value premium in the open-end fund market in our country, More significant than the low-capital funds, but the concept of the overall value of the open-end fund market has not yet taken shape.