【摘要】 本文以国内指数分级基金为样本,采用技术分析方法来判断指数分级基金所标的指数的短期趋势,利用分级基金的杠杆,证明中国股票市场的确存在短期的惯性效应;运用CAPM模型以及Fama-French三因子模型对超额收益进行风险调整后,发现存在与短期趋势相关的异常收益,价值型基金的收益要优于成长型基金,中小规模基金的收益要优于大规模基金。更多还原

【Abstract】 The authors of this paper use the domestic index classification funds as samples and technological analysis method to determine the short-term trend of benchmark indexes based on index classification funds, and use the leverage features of index classification funds to prove the existence of short-term inertia effects in Chinese stock markets. Based on the CAPM model and Fama-French three-factor model, the authors adjust the risks of excess returns and find the abnormal returns relating to short-term trend. It’s also found that the returns of value-based funds are better than those of growth-based funds, and those of small and medium-sized funds are better than those of large-scale funds.更多还原