Chap011效市场假说.pptVIP

* * * * 11-* Consistency, the “hot hands” phenomenon共同基金业绩的一致性，一直都是一个烫手的话题 Carhart – weak evidence of persistency较弱的证据，而且成本大过收益 Bollen and Busse – support for performance persistence over short time horizons较短的期限内有一致性 Berk and Green – skilled managers will attract new funds until the costs of managing those extra funds drive alphas down to zero.高明的基金经理会吸引更多资金直至费用越来越高最后投资的阿尔法收益消失 Mutual Fund Performance共同基金的表现 11-* Figure 11.8 Risk-adjusted performance in ranking quarter and following quarter根据季度和下季度风险调整后的排名：两个季度的对比 可以看出微弱的一致性：强的还会强，弱的也还是弱，但是差距变小很多几乎不可见了。 11-* So, Are Markets Efficient?那么市场是