[1] |
Roll Richard. Vas ist das! the turn of the year effect and the return premia of small firms[J]. Journal of Portfolio Management,1983(9):18-28. |
[2] |
Robert D Arnott,Christopher G Luck. The handbook of equity style management[C]. NJ :Wiley,2003:47-74. |
[3] |
Guo H,Savickas R,Wang Z,Yang J. Is the value premium a proxy for time-varying investment opportunities:some time series evidence [J]. Journal of Financial and Quantitative Analysis,2008,44(1):133-154. |
[4] |
黄淑慧. 基金预判屡失准 惨淡收场2011[N].中国证券报,2011-12-30(9). |
[5] |
Marianne Bertrand,Esther Duflo,Sendhil Mullainathan. How much should we trust differences-in-differences estimates? [J]. The Quarterly Journal of Economics,2004,119(1):249-275. |
[6] |
Bernstien R. Style investing:unique insight into equity management[M]. New York:Wiley,1995. |
[7] |
Amenc N,Bied S N,Martellini L. Predictability in hedge fund returns[J]. Financial Analysts Journal,2003,59 (5):32-46. |
[8] |
Cooper M J,Gulen H,Rau P R. Changing names with style:mutual fund name changes and their effects on fund flows [J]. Journal of Finance,2005,60(6):2825-2858. |
[9] |
Cumming D,Fleming G,Schwienbacher A. Style drift in private equity [J]. Journal of Business Finance & Accounting,2009,36:645-678. |
[10] |
Andrew B Ainsworth,Kingsley Fong,David R Gallagher. Style drift and portfolio management for active australian equity funds [J]. Australian Journal of Management,2008,32(3):387-418. |
[11] |
Cremers M,Petajisto A. How active is your fund manager a new measure that predicts performance[J]. Review of Finance 2007,11(3):359-400. |
[12] |
Barberis N,Shleifer A. Style investing[J]. Journal of Financial Economics,2003,68(2):161-199. |
[13] |
Elton E,Gruber J,Busse J. Are investors rational? choices among index funds [J]. Journal of Finance,2004,59 (6):261-288. |
[14] |
Brown S J. Goetzmann W N. Mutual fund styles [J]. Journal of Financial Economics,1997,43 (3):373-399. |
[15] |
diBartolomeo D,Witkowski E. Mutual fund misclassification:evidence based on style analysis[J]. Financial Analysts Journal,1997,53 (5):32-43. |
[16] |
Nalbantov,Georgi,Bauer,Rob,Sprinkhuizen-Kuyper. Ida,equity style timing using support vector regressions applied financial economics[J]. Applied Financial Economics,2006,16 (15):1095-1111. |
[17] |
王敬,刘阳. 证券投资基金投资风格:保持还是改变? [J]. 金融研究,2007(8):120-130. |
[18] |
李学峰,徐华. 基金投资风格漂移及其对基金绩效的影响研究[J]. 证券市场导报,2007(8):70-77. |
[19] |
孔东民,伍静茹. 基金投资风格的极端性与业绩研究[J]. 证券市场导报,2012(2):26-30. |
[20] |
张津,王卫华. 中国证券投资基金投资风格实证研究[J]. 中央财经大学学报,2006 (1):29-33. |
[21] |
董铁牛,杨乃定,邵予工. 中国开放式基金投资风格分析[J].管理评论,2008(7):3-9. |
[22] |
宋光辉,许林. 开放式基金投资风格漂移量化指标应用研究[J]. 证券市场导报,2011(5):42-46. |
[23] |
曾晓洁,黄嵩,储国强.基金投资风格与基金分类的实证研究[J].金融研究,2004(3):66-77 |
[24] |
王鹏. 基金投资风格的持续性研究:原因与结果[J].投资研究,2011(8):89-100. |
[25] |
Joe H. Multivariate models and dependence concepts,monographs on statistics and applied probability[M]. London:Chapmann & Hall,1997:73. |
[26] |
罗登跃. 流动性与资产定价:基于中国证券市场的研究[M]. 北京:经济科学出版社,2009:62. |
[27] |
许林,宋光辉,郭文伟. 基于SKT-ARFIMA-HYGARCH模型的开放式基金投资风格漂移收益及其波动分形研究[J]. 统计与信息论坛,2011(3):56-62. |
[28] |
Grinblatt M,Titman S. Performance measurement without benchmarks:an examination of mutual fund returns [J]. The Journal of Business,1993 (1):47-68. |
[29] |
Idzorek T M,Bertsch F. The style drift score [J]. Journal of Portfolio Management,2004 (1):76-83. |
[30] |
宋婷婷,李昆. 深圳股票市场规模效应变迁的实证研究[J]. 特区经济,2004(10):152-153. |
[31] |
宿成建,许舜娟. 中国证券市场价值溢价实证研究[J]. 数学的实践与认识,2006(8):125-130. |
[32] |
郭文伟,宋光辉,许林. 风格漂移、现金流波动与基金绩效之关系研究[J].管理评论,2011(12):3-9. |
[33] |
牛鸿,詹俊义. 中国证券投资基金市场择时能力的非参数检验[J]. 管理世界,2004(10):29-35. |
[34] |
Patton A J. Modeling asymmetric exchange rate dependence [J]. International Economic Review,2006( 47):527-556. |