中国上市公司是否具有“选股能力”和“择时能力”——以汽车行业为例

根利用选股能力和择时能力模型分析企业的长期获取超额收益率以及抓住机遇获益的能力，然后对30家汽车上市公司的2002年至2011年第二季度财务数据进行实证分析，发现基于Henriksson（1984）的选股和择时能力模型，仅仅只有23％左右的公司存在择时能力，1／6的公司具有负择时能力；1／3左右的企业具有选股能力，13．3％左右的企业具有负选股能力。基于Jenson（1969）的选股能力模型，对不具有择时能力和负择时能力的14家公司进行分析，发现5家公司具有选股能力，4家公司具有负选股能力。

On Security Selecting Ability and Time Selecting Ability of the Listed Companies in China-Using Automobile Industry As An Example

Based on security selecting ability and time selecting ability model, this paper analyzes whether the company has the ability of gaining long-run abnormal return and gaining abnormal return amid opportunities, and then it applies the model to analyze the data of thirty listed companies in automobile industry from 2002 to the second quarter of 2011. The analysis shows： in light of security selecting ability and time selecting ability model of Henriksson, only 23% of companies have time selecting ability, and one sixth of companies have negative time selecting ability; one third of companies have security selecting ability, and 13.3% of companies have negative security selecting ability. In the end, we use the security selecting ability model of Jenson to analyze the data of fourteen companies of having no time selecting ability. The result is that five companies have security selecting ability, and four companies have negative security selecting ability.