风格漂移和基金在上下市场的表现:澳大利亚的证据

Applied Financial Economics Letters Pub Date : 2008-10-17 DOI:10.1080/17446540801964439

Kathryn. Holmes, R. Faff

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引用次数: 6

摘要

我们研究了风格漂移对基金业绩指标的影响，包括选择性和市场时机。我们发现，只有在市场下跌时，风格漂移与选择性表现呈正相关。在高端市场条件下，流量波动率与市场择时能力呈正相关。此外，我们发现，无论市场状况如何，规模较大的基金在选股方面都更胜一筹。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Style drift and fund performance in up and down markets: Australian evidence

We examine the impact of style drift on the fund performance measures of selectivity and market timing. We find that style drift is positively related to selectivity performance, only when the market is in decline. Flow volatility is positively related to market timing ability during upmarket conditions. In addition, we find that larger funds are superior at stock selection, regardless of market conditions.

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Applied Financial Economics Letters

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