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本文以1999年12月在深沪两市挂牌的20只封闭式基金为样本,研究了封闭式基金的惯性特征。本文的实证结果显示,在样本期间内,封闭式基金在中短期内呈现出负的惯性特征,即前期相对收益较好的基金在随后的持有期内收益不如前期相对收益较差的基金。在卖空机制存在的情况下,投资者可以通过反向策略来套利,在卖空机制不存在的条件下,惯性特征的显现有助于投资者挑选基金。
In this paper, in December 1999 in Shenzhen and Shanghai listed 20 closed-end funds as a sample to study the inertia characteristics of closed-end funds. The empirical results show that, in the sample period, closed-end funds show a negative inertia in the short to medium term, that is, the funds with better relative returns in the previous periods have less returns in the subsequent holding periods than the ones with relatively lower returns in the previous periods. In the case of short selling mechanism, investors can arbitrage through the reverse strategy, in the absence of short selling mechanism, the appearance of inertial characteristics will help investors to select the fund.