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流动性风险和价格风险一样可以获得相应的风险溢价,但传统的基金评价方法中,考虑流动性风险的并不多见,特别是将动态流动性风险纳入基金评价体系更是少见。运用数据包络模型(DEA)将改良的动态流动性风险指标纳入基金评价体系,并对15只股票型开放式基金的相对业绩进行了实证研究,结果表明,流动性风险,包括基金资产自身的流动性风险在基金的业绩评价中不容忽视。
Liquidity risk can get the same risk premium as price risk. However, it is rare to consider liquidity risk in the traditional fund evaluation methods. It is even rarer to include dynamic liquidity risk in the fund evaluation system. The improved dynamic liquidity risk index was included in the fund evaluation system by using data envelopment model (DEA), and the relative performance of 15 stock-type open-end funds was studied empirically. The results show that the liquidity risk, including the assets of the fund itself Liquidity risk in the performance evaluation of the Fund can not be ignored.