我国基金选股选时能力实证分析

本文运用西方基金绩效评价中较为常见的选股选时能力模型及其FF3改进模型对我国证券投资基金进行实证研究,在处理过程中考虑了不同取样频率和不同样本区间的影响.研究结果表明:(1)我国基金只存在很小程度的选股能力,而基本不存在选时能力,更没有基金同时具有选时能力和选股能力;(2)多因素改进模型与原模型相比显著提高了解释能力,说明在可能的情况下应尽可能使用多因素模型;(3)加快取样频率后基金表现出更强一些的选股能力,但在各年度内基金的选股能力有所差异.

Empirical Analysis of Market -timing and Stock -choosing Capacity of Chinese Funds

This paper evaluates the market - timing capacity and stock - choosing capacity of Chinese mutual funds. The main finds are: there is no evidence that Chinese mutual funds have the market - timing capacity, and they have just a little stock - choosing capacity. The results also prove that the FF3 - adjusted models are better than their original models like T - M model and H - M model. But we find some funds have more market - timing capacity under quicker sampling frequency, and during different periods the funds didn' t have the equal stock -choosing capacity.