证券基金择时择股能力评价研究

【作者】 傅旻；

【导师】 姚铮；

【作者基本信息】 浙江大学 ， 企业管理， 2002， 硕士

【摘要】 自从1998年首只新基金问世以来，我国的证券投资基金业得到了迅猛的发展，基金规模不断增加。在市场中的地位不断提高，对整个股市的影响也日益增强。基金的快速发展不但丰富了证券市场的投资品种，推动了证券市场的规范化发展，给投资者提供了更多的投资选择机会，同时也给基金公司带来了空前激烈的竞争。基金公司的良莠不齐也对政府部门的监管提出了新的要求。此外，面临更多投资机会和更大的决策空间，为了维持决策的准确性，投资者急需理论研究进行指导。因此，理论界和实务界都极为关注基金的综合研究，以便为投资者提供决策依据，为基金公司发展战略及激励机制的制定提供基础，同时也为监管部门提供政策制定的落脚点。 本文主要从中国市场的实际出发，对国内外的证券基金业绩评价体系进行全面的理论研究，着重对证券基金业绩的分解研究进行了探讨，并运用分别基于CAPM和Fama—French三因素模型的Treynor—Mazuy模型、Henriksson—Merton模型和Chang—Lewellen模型等基金经理择时能力和择股能力评价模型对我国的证券基金业绩进行全面的实证分析。 通过对在1999年10月之前上市的15只基金的实证结果表明，我国基金表现了一定的证券选择能力和时机选择能力，但总体上没有表现出显著的择时和择股能力。2001年7月开始的股市调整中，甚至有部分基金经理表现出显著的负向的择时能力。而基金管理公司之间以及不同规模的投资基金之间也表现出一定的投资管理能力差异和规模效益。更多还原

【Abstract】 Since 1998,we have witnessed rapid growth of Chinese securities funds. The market capitalization and status of fund industry have been increased ceaselessly,its influence on stock market has been enlarged. The fund’s rapid growth enriches the investment tools,boosts the canonical development of stock market,provides more investment chances to investors,and brings intensive competition to fund management corporations. The situation that good and bad are intermingled also brings forward a new theories to direct their decision making process in order to maintain the veracity of investment decisions when facing more investment chances. So,research on the fund industry,especially on fund performance,has attracted the attention of practitioners and theoreticians,so as to provide a foundation for investor’s decision making and afford the groundwork for fund corporation’s development stratagem and prompting mechanism.In this paper,we measure the performance of Chinese equity funds,using Treynor-Mazuy model,Henriksson-Merton model and Chang-Lewellen model which are based on CAPM and Fama-French three factors model respectively in measuring the manager’s market timing ability and security selection ability. The empirical evidence indicates that the managers don’t exhibit superior market timing ability but exhibit certain security selection ability. Especially during the adjustment period since July 2001,the performance of Chinese equity funds is bad and the most managers exhibit reverse market timing ability.更多还原