我国投资连结保险选股择时能力的对比研究——基于T-M模型  

作　　者：李艳荣[1] 周蔚龄[1] 

机构地区：[1]浙江工商大学金融学院,浙江杭州310018

出　　处：《浙江金融》2012年第1期67-72,共6页Zhejiang Finance

基　　金：国家教育部2011年度青年基金项目(11YJC790088);浙江省高校人文社科重点研究基地2010年度基金项目(1060KZ0411126)

摘　　要：近年来我国投连险产品的数量迅速增长,作为一种高风险高收益的保险产品,投保人参加此保险更多地是出于投资目的,因此科学地评价它们的投资绩效就变得越来越重要。以20个投连险账户为研究对象,借助资产组合绩效评价的T-M模型,分别从账户投资风格、牛熊市和不同寿险公司的角度对比研究了我国投连险的选股择时能力。实证结果表明,总体而言我国投连险的具有显著的选股能力,但是不具有择时能力。就投资风格上来看,激进型账户的选股能力表现最好,债券型账户的择时能力好于其他;从牛熊市的比较而言,我国投连险具有显著的选股能力,牛市表现要优于熊市;综合考虑选股能力和择时能力两个方面,平安人寿和太平人寿的投资表现好于其他寿险公司。In recent years,China’s investment-linked insurance products are increasing rapidly,as a high-risk and high-yield insurance products,policy-holders participate in it is for investment purposes,so the scientific evaluation of their investment performance becomes more important.In this paper,we use the T-M model to evaluate twenty Investment-Linked Insurance accounts’portfolio performance,and compare their stock and timing-picking ability in three point of view respectively.The empirical results shows that,overall,China’s investment-linked insurance has significant stock-picking ability,but do not have timing-picking ability.On the investment style perspective,the radical accounts have the best stock-picking ability,the bond accounts’ timing-picking ability is better than others.In the period comparison,China’s investment-linked insurance has a significant stock-picking ability,the performance of the bull market is better than the bear market.Take the two aspects into consideration,Pingan Life and Taiping Life’s investment performance were better than other life insurance companies.

关 键 词：投资连结保险 选股择时能力 投资绩效评价 对比研究 

分 类 号：F842.4[经济管理—保险]