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通过市值加权、等权和基本面价值加权方法构造指数投资组合,本文研究了指数投资组合加权机制选择问题。对中国证券市场从2000年5月到2012年4月间的实证研究表明,基本面价值组合的业绩最优,等权组合次之,市值组合最差。此外,对指数投资组合投资风格倾向的分析表明,基本面价值组合比等权组合和市值组合具有更明显的规模效应和价值效应。业绩比较和投资结构分析结果表明,在三种指数投资组合加权方法中,基本面价值加权方法最好,等权方法次之,市值加权方法最差。
By constructing the index portfolio with market value weighted, equal weight and fundamental value weighting, this paper studies the selection of index portfolio weighting mechanism. An empirical study of China’s securities market from May 2000 to April 2012 shows that the performance of the fundamental value portfolio is the best, followed by the combination of the equal rights and the worst combination of the market capitalization. In addition, an analysis of the style tendencies of index portfolio investment shows that the fundamental value portfolio has more obvious scale effects and value effects than the equity portfolio and market value portfolio. Performance comparison and investment structure analysis show that in the three index portfolio weighting methods, the fundamental value of the weighted method is the best, followed by the equal rights method, the market value of the worst weighted method.