基金的市场时机把握能力研究

A Study of Market Timing Ability of Investment Funds

本文对我国证券投资基金的市场时机把握能力进行了实证研究。在研究设计上 ,本文以中信指数作为市场基准指数 ,使用 3种基于CAPM基础的模型和 3种基于Fama French三因素模型基础的改进模型 ,以相互印证结果的可靠性。同时 ,本文也采用了非参数检验方法 ,对基金年报的有关内容和投资组合公告中的持仓信息进行分析 ,以使结论更具有可信性。研究结果表明 ,整体而言 ,我国基金缺乏市场时机把握能力 ,但具有一定的证券选择能力 ,不过其对基金收益的贡献并不显著。

This paper presents an empirical research on market timing ability of investment funds. It uses the Zhongxin indexes as benchmark. To make the results more reliable,It uses 3 models based on the specification of CAPM and 3 modification models based on the specification of Fama-French 3-factor model. In addition, to make the results more acceptable, I use the non-parametric tests,on the basis of information of annual reports and quarterly portfolio reports of those funds. The results show that the funds are lack of market timing ability,but have some selective abilities which are not significant.