The Evaluation Of Open-End Fund Performance In China Based On Arbitrage Pricing Model

As one of the principle security investment fund, open-end fund have already been one of the most important institutional investors in Chinese securities market. However, the developing history of open-end fund is comparatively shorter in China and comparing with foreign developed market, there is still a big gap in performance evaluation field. As a result, the study of open-end fund evaluation has a quite important significance to make a promotion of Chinese security fund development.The evaluation of open-end fund performance is a research subject that has both theoretical and practical concerns. However, the domestic research in this field is still in its elementary phase. Therefore, this dissertation firstly give an analysis of topic's significance and defines the concerned concepts, meanwhile, a revision of the mainly literature and ways about the open-end fund performance evaluation, including overseas and domestic studies was presented. Secondly, it introduces the present status of Chinese open-end fund'development. Comparing with close-type fund, the major advantages of open-end fund have also been revealed. At the same time, the thesis analyzes the necessity of open-end fund performance evaluation and expatiates the limitation of open-end fund's development; Thirdly, the theoretical basis of open-end fund evaluation was discussed, that is, Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) from which three basic models of open-end fund performance evaluation can be derived: Jensen Model, TM Model and HM Model. The relationships among those models were also discussed. Finally, the general design of the samples that was selected for the positive research was presented. 20 open-end fund will be selected as the samples for Chinese open-end fund positive research, on the basis of which the suggestions of domestic security development were provided.By means of the research of open-end performance evaluation, Jensen Model, TM Model and HM Model, I hope that we can make an improvement in the...