绿色环保主题基金的业绩表现研究
摘要
社会责任投资理念和行动已经在中国获得了广泛认可和发展,然而环保主题投资基金能否推进环保企业和产业的发展还存在争议。本文选取中国环保基金和传统对照基金样本,利用2007～2017年基金数据,首先对两组基金的收益表现进行了分析,其次采用贝塔系数和单日最大回撤对两组基金的风险进行了研究,接着利用风险调整后收益和选股择时能力模型对两组基金的风险管理能力进行了对比分析。研究发现,与传统基金相比,环保主题基金没有更突出的绩效表现,但存在部分混合型环保基金的收益能力较强。此外,个别环保主题基金还具备了显著的选股能力。
引文
[1]刘波,郭文娜.社会责任投资:观念的演化及界定[J].软科学,2009,23(12):45~49.
[2]乔海曙,龙靓.社会责任投资绩效实证研究述评[J].经济学动态,2009,(6):132~137.
[3]危平,舒浩.中国资本市场对绿色投资认可吗?--基于绿色基金的分析[J].财经研究,2018,(5).
[4]星焱.责任投资的理论构架、国际动向与中国对策[J].经济学家,2017,9(9):44~54.
[5]熊熊,韩佳彤等.大数据基金风险与绩效分析[J].证券市场导报,2017,(10):53~60.
[6]许弘林.社会责任投资的发展及在我国倡导的意义[J].开放导报,2007,(01):107~109.
[7]郑若娟,胡璐.我国社会责任投资策略与绩效分析[J].经济管理,2014,(5):163~174.
[8]Climent F,Soriano P.Green and Good?The Investment Performance of US Environmental Mutual Funds[J].Journal of Business Ethics,2011,103(2):275~287.
[9]Gregory A,Matatko J,Luther R.Ethical Unit Trust Financial Performance:Small Company Effects and Fund Size Effects[J].Journal of Business Finance and Accounting,1997,24(5):705~725.
[10]Henriksson R D,Merton R C.On Market Timing and Investment Performance.II.Statistical Procedures for Evaluating Forecasting Skills[J].Journal of Business,1981,54(4):513~533.
[11]Humphrey J E,Lee D D.Australian Socially Responsible Funds:Performance,Risk andScreening Intensity[J].Journal of Business Ethics,2011,102(4):519~535.
[12]Jones S,Laan S V D,Loftus F J.The Investment Performance of Socially Responsible Investment Funds in Australia[J].Journal of Business Ethics,2008,80(2):181~203.
[13]Renneboog L,Ter Horst J,Zhang C.The Price of Ethics:Evidence from Socially Responsible Mutual Funds[J].Social Science Electronic Publishing,2007.
[14]Schroder M.The performance of socially responsible investments:Investment funds and indices[J].Financial Markets and Portfolio Management,2004,18(2):122~142.
[15]Treynor J L,Mazuy K K.Can Mutual Funds Outguess the Market?A Report on the Performance of57 Funds and their Sensitivity to Market Fluctuations[M].1966.
(1)限于篇幅,详细结果留存备索。
[2]乔海曙,龙靓.社会责任投资绩效实证研究述评[J].经济学动态,2009,(6):132~137.
[3]危平,舒浩.中国资本市场对绿色投资认可吗?--基于绿色基金的分析[J].财经研究,2018,(5).
[4]星焱.责任投资的理论构架、国际动向与中国对策[J].经济学家,2017,9(9):44~54.
[5]熊熊,韩佳彤等.大数据基金风险与绩效分析[J].证券市场导报,2017,(10):53~60.
[6]许弘林.社会责任投资的发展及在我国倡导的意义[J].开放导报,2007,(01):107~109.
[7]郑若娟,胡璐.我国社会责任投资策略与绩效分析[J].经济管理,2014,(5):163~174.
[8]Climent F,Soriano P.Green and Good?The Investment Performance of US Environmental Mutual Funds[J].Journal of Business Ethics,2011,103(2):275~287.
[9]Gregory A,Matatko J,Luther R.Ethical Unit Trust Financial Performance:Small Company Effects and Fund Size Effects[J].Journal of Business Finance and Accounting,1997,24(5):705~725.
[10]Henriksson R D,Merton R C.On Market Timing and Investment Performance.II.Statistical Procedures for Evaluating Forecasting Skills[J].Journal of Business,1981,54(4):513~533.
[11]Humphrey J E,Lee D D.Australian Socially Responsible Funds:Performance,Risk andScreening Intensity[J].Journal of Business Ethics,2011,102(4):519~535.
[12]Jones S,Laan S V D,Loftus F J.The Investment Performance of Socially Responsible Investment Funds in Australia[J].Journal of Business Ethics,2008,80(2):181~203.
[13]Renneboog L,Ter Horst J,Zhang C.The Price of Ethics:Evidence from Socially Responsible Mutual Funds[J].Social Science Electronic Publishing,2007.
[14]Schroder M.The performance of socially responsible investments:Investment funds and indices[J].Financial Markets and Portfolio Management,2004,18(2):122~142.
[15]Treynor J L,Mazuy K K.Can Mutual Funds Outguess the Market?A Report on the Performance of57 Funds and their Sensitivity to Market Fluctuations[M].1966.
(1)限于篇幅,详细结果留存备索。