《择时操作和共同基金业绩的实证研究》(解压后为PDF格式)
Roy D. Henriksson Schools of Business Administration University of California, Berkeley
"Market Timing and Mutual Fund Performance: A Empirical Investigation"
February 1982 Revised March 1983 (论文比较老,但绝对经典)
论文中详细介绍了CAPM的参数修正 并运用了Henriksson & Merton(HM模型)技术
评估了116支开放式公共基金的择时选择业绩
虽是扫描版但是文字很清晰,一点都不影响阅读
论文的介绍截图如下:
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- Market Timing and Mutual Fund Performance.pdf
[此贴子已经被作者于2005-9-5 10:05:15编辑过]