本文构建了我国资本市场的流动性因子,从基金持有资产的角度度量基金的流动性及其风险,分别考察二者对业绩的影响,并在控制某些基金特征之后,从流动性效应、持续性等方面研究了二者对于业绩的综合影响。实证结果显示,流动性beta是一个有效的流动性风险测度,基金业绩中存在流动性溢价和流动性风险溢价,表明基金的流动性和流动性风险不仅可以预测业绩,还可用于识别基金经理是否具有主动管理能力,从而为投资者决策提供了有效的方法。
Liquidity factor in Chinese capital market is constructed in this paper, and the impact of liquidity and liquidity risk on performance are investiqated from the angle of holding assets. There exist liquidity premium and liquidity risk premium in performance. The results show liquidity risk can not only be used to predict performance, but also identify the fact that whether managers have skill of active management. An effective means is provided for investors to make decisions.
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