Performance Evaluation Of China's Open Stock Fund Based On Multi-Period And Four-Factor Model

The article firstly use the multi-period four-factor model as the benchmark model to make the regression for the funds yield to measure the performance indicators,that as far as possible to eliminate the time-varying influence of various factors coefficient;Then using the Bootstrap testing method to test the performance indicators,the results show that there are significant differences in the performance of some of the funds and these performances can't be explained only by luck.;by using TM model and HM model,the empirical results show these performances that cannot only be explained by luck are mainly due to the ability of the fund manager to choose the market timing.second,the article study the persistence of fund performance.The firstly use the zero investment arbitrage strategy,and the result shows that the Fund's performances have a significant persistence in during of one month to three months.;Then,by using the non-parametric test approach to test the persistence of the fund's performances,and found that no matter from the Angle of the graphic or quantitative,it is the same conclusion that funds which have the excellent performance have the significant persistence within one month,funds which have the bad performance have the significant persistence within three months.With the increasing investors' preference for securities investment funds,many experts and scholars have used some different methods to study their performances and the performance persistence for different types securities investment funds in China's securities market.With the increasing investors' preference for securities investment funds,many experts and scholars have used some different methods to study their performances and the performance persistence for different types securities investment funds in China's securities market.and combining with the actual situation of China's securities market,came up with a lot of practical conclusions.This paper adds some innovations to the methods used by previous scholars to make further research on the evaluation of fund performance and the persistence of performance.The main research content of the paper:The first part(Chapter 1)is the introduction and literature review.This part shows the research background and significance of the paper,and introduces the current research methods and significance of the performance evaluation of the securities investment funds at domestic and abroad.This part is the theoretical basis for carrying out the research content of this paper.The second part(Chapter 2)introduces the main part of the open-end fund performance evaluation method.Firstly,selecting the four-factor model as the benchmark model of the research fund performance.Then,we simply reviewed the single-period four-factor model.And we further study to eliminate the timing-vary influences of the single-period four-factor model,then formed the multi-period four-factor model,The specific method is:The sample period is divided into multiple periods,using single-period four-factor model in the every period,and then to average the fund performance evaluation indicators.Finally,in order to make the conclusion more convincing,we use Bootstrap test method to test the performances of the funds,which alleviated the pressure of small sample size.The third part(Chapter 3)mainly introduces the method of studying fund performance persistence.In this part,we firstly use the zero investment arbitrage strategy to study the persistence of fund performances,and then use the nonparametric test methods of contingency table test and Kolmogorov-Smirnov test to test the continuity of fund performances.The fourth part(Chapter 4)is the empirical part of this thesis,which mainly includes the data source,the empirical result and the analysis of the empirical result.The fifth part(Chapter 5)is the conclusion of this paper.Using single and multi-period four-factor model makes the regression for the funds yield to obtain the performance indicators;Using the Bootstrap test method to test the performance indicators of the funds,the result shows that some of the fund's performance is indeed significantly superior(poor),and its performance can't only be explained by luck;then we use the TM model and HM Model to make regression for the abnormal return of the funds,finding that the performances that can't only be explained by the luck are mainly due to the ability of the fund manager to choose the market timing.After completed the evaluation of the performance of the funds,we analysis the sustainability of the fund performance.First,Using the zero investment arbitrage strategy,the result shows that the Fund's performances have a significant persistence in during of one month to three months.;Then,using the contingency test method to test the sustainability of the fund performance,also draw the same conclusion.then using the Kolmogorov-Smirnov test,the empirical result shows that the fund's performance is only significant in one month due to the more stringent testing standards.