基于HM-FF3模型的社保基金选股择时能力分析

Analysis of Selection and Timing Abilities of Social Security Fund Based on HM-FF3 Model

文章运用HM-FF3模型研究了社保基金投资管理人近五年的择时、选股能力及其变化。研究结果表明我国社会保障基金具有显著的选股能力,但择时能力并不明显,研究结论不支持社保基金通过提前获得内幕消息获取超额收益的猜测。

This paper studies the National Social Security Fund manager＇s market timing and stock selection abilities in the previous five years by using the HM-FF3 model. The results show that the National ,Social Security Fund has a prominent ability of stock selection, but the market timing ability is not obvious. The study result does not support the supposition that the National Social Security Fund has obtained excess returns by obtaining inside information in advance.