我国投资基金选股与择时能力的实证研究

文章选择了比较成熟的单因素T-M模型和H-M模型,对2004年1月1日～2007年11月31日间194个交易周的10只基金进行业绩评价,考察证券投资基金是否在我国这种弱式有效的市场上表现出良好的选股与择时能力。结果表明,除个别基金外,我国基金整体不具备择时能力,虽具有一定的选股能力,但表现并不显著。

An empirical study on selectivity and timing abilities of China stock investment fund

Using the relatively nature single factor T-M model and H-M model, this paper presents an em-pirical analysis of the selectivity and marking timing of stock investment funds managers to 10 founds in China weak from efficient market of the 194 tradingweeks from January 1, 2004 to November 31, 2007. In addition to individual fund, the results suggest that our stock investment funds managers does not have the stock selection ability on the whole, but have some market timing ability which is not significant.