中国开放式基金选时和选股能力的实证分析

开放式基金的绩效评价是基金研究领域备受关注的课题，对选股和选时能力的分析是其中的一个重要方面。T—M、H—M和C—L模型是评价选时和选股能力的三个经典模型，本文在此基础上得到T—M—FF3模型，通过选取6年中14只开放式基金的数据，进行了实证分析，并对模型设定予以改进和探讨。结果表明，我国开放式基金具有较强选股能力但选时能力不显著，说明我国基金管理行业的专业水平能够为投资者带来超额收益。建议从通过完善市场制度以及加强基金业人才培养两方面加强基金行业的建设，以增强基金的择时能力。

Empirical Analysis on Mutual Funds' Stock-selection and Timing Ability in China

Performance evaluation is a popular issue in mutual fund study. Analysis on stock-selection and timing ability is one of the most important topics. This essay is based on three classical models including T-M, H-M and C-L and makes some improvements. This paper obtains the T-M-FF3 model based on these models above. This article makes the empirical analysis by selecting fourteen open-ended funds data in six years. The conclusion is that the mutual funds in China have strong stock-selection ability while timing ability is not obvious. We also recommend that the government should improve the market system and strengthen personnel training for enhancing the timing ability.