基金表现评价研究-一个条件双因子评价模型的构建与实证

中国管理科学 ›› 2005, Vol. ›› Issue (5): 12-17.

基金表现评价研究-一个条件双因子评价模型的构建与实证

俞向前¹, 申团营², 万威武¹

1. 西安交通大学管理学院, 西安, 710049;
2. 西安交通大学经济与金融学院, 西安, 710061

收稿日期:2004-12-10 修回日期:2005-08-08 出版日期:2005-10-28 发布日期:2012-03-07

A Study of Funds Performance Evaluation Based on a Conditional Two-Factor Measure Model

YU Xiang-qian¹, SHEN Tuan-ying², WAN Wei-wu1¹

1. School of Management, Xi’an Jiaotong University Xi’an 710049, China;
2. School of Economics and Finance, Xi’an Jiaotong University, Xi’an 710061, China

Received:2004-12-10 Revised:2005-08-08 Online:2005-10-28 Published:2012-03-07

摘要/Abstract

摘要： 出色的证券投资基金管理人不但具有股票选择的微观能力,而且还具有市场时机把握的宏观能力。目前关于基金表现评价的模型是仅以股票指数超额收益率为评价基准的单因子模型,而实际上,基金管理人可以在股票、债券以及现金存款之间进行投资选择。基于此,本文构建了条件双因子评价模型,并且以中国全部54只封闭式基金为样本采用面板数据回归技巧验证了该模型的有效性。实证结果是条件双因子评价模型不仅解释能力高而且有效地减少了负向市场时机把握能力的偏差,中国基金不但具有选股能力而且具有现金存款的时机把握能力。

关键词: 股票选择能力, 时机把握能力, 条件双因子, 面板数据

Abstract: The excellent funds managers not only have the micro-ability to stock selecting but also have the macro-ability to market timing.The existing models of funds performance evaluation are the single factor model in which benchmark is the excess return of stock index.In fact,funds managers have selecting right among stocks and bond and cash.This paper builds a conditional two-factor measure model,and proves the efficiency of this model using panel data regression skill.The samples are 54 Chinese close-end funds.The conclusion is that the conditional two-factor measure model not only has higher fitness butt also decreases the minus bias of market timing.In addition,Chinese funds managers have the micro-ability to stock selecting and the macro-ability to market timing.

Key words: stock selecting ability, market timing, conditional two-factor, panel data

中图分类号:

F830

俞向前, 申团营, 万威武. 基金表现评价研究-一个条件双因子评价模型的构建与实证[J]. 中国管理科学, 2005, (5): 12-17.

YU Xiang-qian, SHEN Tuan-ying, WAN Wei-wu1. A Study of Funds Performance Evaluation Based on a Conditional Two-Factor Measure Model[J]. Chinese Journal of Management Science, 2005, (5): 12-17.

参考文献

[1] Fama, E. Efficient Capital Markets: A review of Theory and Empirical Work [J]. Journal of Fimance, 1970,25: 383-417.
[2] Fama, E. Components of Investment Performance[J]. Jourhal of Finance, 1972,27: 551-567.
[3] Jenson, M. The Performance of Mutual Funds in the Period1945-1964[J].Journal of Finance, 1968,23:389-416.
[4] Treynor, J., Mazuy, K.Can Mutual Funds Outguess the Market? [J]. Harward Business Review, 1966,44: 131-136.
[5] Merton, R.On Market Timing and Investment Performance 1: An Equilibrium Theory of Value for Market Forecasts[J].Journal of Business, 1981,54 ..363-406.
[6] Henriksson, R., Merton, R. On Market Timing and Investment Performance: Statistical procedures for evaluation forecasting skill [J].Journal of Business, 1981,54 . 513-533.
[7] 郭建军.基金经理预测能力检验[J].中国管理科学,2004,12(2):83-81.
[8] 汪光成.基金的时机把握能力研究[J].经济研究,2002,(1):48-55.
[9] 申团营,邱长溶,刘华芳.证券投资基金市场时机把握能力评价-一个新模型及SURE方法[J].中国管理科学,2005,13(1):19-23.
[10] 罗洪浪,等.基于DEA的封闭式基金业绩评价[J].中国管理科学,2003,11(5):20-25.
[11] Copeland, T., Mayers, D. The Value Line Enigma (1965-1978) :A Case Study of Performance Evaluation Issues [J]. Journal of Financial Economics, 1982, 10:289-321.
[12] Gri nblatt, M., Titman, S. Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings[J].Journal of Business, 1989,62:393-416.
[13] Grinblatt, M., Titman, S. Performance measurement without benchmarks: an examination of mutual fund returns[J]. Journal of Business, 1993,60:97-112.
[14] Ferson, W., Schadt, R. Measuring Fund Strategy and Performance in Changing Economic Conditions[J].Journal of Finance, 1996,51:425-462.
[15] Ferson, W., Qian, M. Conditional Performance Evaluation Revisited[Z]. Working paper, 2004, Boston College.
[16] Ferson, W.Test multifactor Pricing Models Volatility Bounds and Portfolio Performance [Z]. NBER, 2003,Working paper No. W9441.
[17] Comer, G..The Performance of Market Timing Mutual Funds[D]. Dissertation, New York University, 2001.
[18] 王开国.中国证券市场超常规创新的理性思考[J].中国社会科学,2001,(1):79-90.
[19] 何佳,孔翔.深圳股票市场有效性分析[R].深交所研究报告,2003,February.