中美市场的长期α与β (The Long Term α and β of Chinese and US Market)

Chinese Abstract: 本文对比了中国与美国股票市场的长期β与α。实证结果显示，从长期来看，美国股市全市场的β在6%-7%之间，中国股市全市场的β在5%左右。相比中国市场，美国股市的β更高，波动率更低。美国股票型共同基金的年化超额收益α在-1%至-2%之间。美国市场高度成熟，早在1945年-1965年期间，股票型共同基金就已经无法在市场上获得超额收益α了。中国市场的年化β为6.53%，同期普通股票型公募基金的年化α为4.78%，偏股混合型公募基金的年化α为2.98%。相比高度成熟的美国市场，机构投资者仍可以在中国市场上获得超额收益。

Year of publication:	2019
Authors:	Liu, Ruozhou
Other Persons:	Zhao, Xuejun (contributor) ; Zhang, Zili (contributor)
Publisher:	[2019]: [S.l.] : SSRN

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