国际对冲基金的中国资产配置研究
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2707
财经研究 2008 年 第 34 卷第 12 期, 页码：6 - 17
摘要
参考文献
摘要
"热钱"进入的状况和影响目前正在受到国内各界的广泛关注。文章借用以指数收益推算要素敞口的方法,研究了"热钱"的典型代表———国际对冲基金在中国金融市场上的投资活动和资产分布。从全球对冲基金行业来看,尚不存在大规模投资于中国大陆市场的迹象。全球对冲基金业绩仅与中国股票市场存在较微弱的正相关关系。就大中华区而言,大陆股票、香港股票和台湾股票市场是这一地区对冲基金的主要活动场所。没有发现对冲基金在行业意义上进入中国债券、期货和房地产市场的证据。文章还分析了国际对冲基金进入中国的主要渠道和目前国内对对冲基金的监管现状,并提出有关政策建议。
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[15]Lois Peltz.The new investment superstars:13 great investors and their strategies forsuperio returns[M].John Wiley&sons,2001.
[16]Sharp.Asset allocation,management style and performance measurement[J].Journalof Portfolio Management,1992,18:7-9.
[17]The President’s Working Group on Financial Markets.Hedge funds,leverage,and thelessons of long-term capital management[R].The Official Website of U.S.Departmentof Treasury,1999.
[18]United States Court of Appeals for the District of Columbia Circuit.On petition for re-view of an order of the securities and exchange commission[R].The Official Website ofU.S.Securities and Exchange Commission,2005.
①参见:“Hedge Fund Demand and Capacity 2005-2015”,Van Hedge Fund Advisors In-ternational,LLC(2005),www.vanhedge.com。
②数据来源:中国证监会网站,www.csrc.gov.cn。
[2]王国刚,张跃文.2007-2008年中国A股市场走势分析[J].银行家,2008,(3):64-67.
[3]张跃文.国际对冲基金进入我国的前景及对策研究[J].中国金融,2008,(3):66-68.
[4]张跃文.国际对冲基金活动与我国商业银行稳健经营研究[J].新金融,2007,(7):7-10.
[5]Agarwal Vikas,Narayan Naik.Risks and portfolio decisions involving hedge funds[J].Review of Financial Studies,2004,(17):63-98.
[6]Brealey,Kaplanis.Hedge funds and financial stability:An analysis of their factor expo-sures[J].International Finance,2001,(4):161-187.
[7]Brown,Goetzmann.Hedge funds with style[R].Working Paper,NO.00-29,Yale In-ternational Center for Finance,2001.
[8]Brown,Goetzmann,Park.Hedge funds and the Asian currency crisis[R].NBERWorking Paper,No.6427,1998.
[9]David Vaughan.Comments for the U.S.securities and exchange commission round-table on hedge funds[R].The Official Website of U.S.Securities and Exchange Com-mission,2003.
[10]Fung,Hsieh.Empirical characteristics of dynamic trading strategies:The case ofhedge funds[J].The Review of Financial Studies,1997,10:275-302.
[11]Fung,Hsieh.Measure the market impact of hedge funds[J].Journal of Empirical Fi-nance,2000,7:1-36.
[12]Fung,Hsieh.The risk in hedge fund strategies:Theory and evidence from trend fol-lowers[J].Review of Financial Studies,2001,14:313-341.
[13]Lehman Brothers.Understanding hedge fund performance[R].The Official Website ofLehman Brothers,2001.
[14]Liang Bing.Hedge funds:The living and the dead[J].Journal of financial and Quanti-tative Analysis,2001,35:309-326.
[15]Lois Peltz.The new investment superstars:13 great investors and their strategies forsuperio returns[M].John Wiley&sons,2001.
[16]Sharp.Asset allocation,management style and performance measurement[J].Journalof Portfolio Management,1992,18:7-9.
[17]The President’s Working Group on Financial Markets.Hedge funds,leverage,and thelessons of long-term capital management[R].The Official Website of U.S.Departmentof Treasury,1999.
[18]United States Court of Appeals for the District of Columbia Circuit.On petition for re-view of an order of the securities and exchange commission[R].The Official Website ofU.S.Securities and Exchange Commission,2005.
①参见:“Hedge Fund Demand and Capacity 2005-2015”,Van Hedge Fund Advisors In-ternational,LLC(2005),www.vanhedge.com。
②数据来源:中国证监会网站,www.csrc.gov.cn。
引用本文
张跃文. 国际对冲基金的中国资产配置研究[J]. 财经研究, 2008, 34(12): 6–17.
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