我国证券投资基金业绩评价的实证研究  

An Empirical Research on Performance Evaluation of Security Investment Funds in China

作　　者：陆媛媛[1] 卢涛[2] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031 [2]天津大学经济管理学院,天津300072

出　　处：《西南交通大学学报（社会科学版）》2006年第3期126-133,157,共9页Journal of Southwest Jiaotong University(Social Sciences)

摘　　要：实证研究结果表明:经过风险调整后,大部分基金的业绩优于市场基准组合;利用T-M,H-M模型分析,可以看到基金经理具有一定的证券选择能力,但并不显著;利用TM-FF3模型和HM-FF3模型分析,可得出基金经理没有证券选择能力的结论。无论采用上述哪种模型,均可发现基金经理的市场把握能力较差,但同样不显著。经综合分析,基金经理的证券选择能力是依据对市场公共信息的分析得到的,并没有证据表明基金经理凭借内幕消息而获得超额收益。Based on a series of research models formed by western scholars, the article conducts an empirical research on the performance of investment funds in China. The results indicate that： （i） most funds perform better than market benchmark after risk adjustment; （ii） as far as the managers＇ ability of selecting securities is concerned, T-M, H-M models shows that managers own it to some extent, but not evidently, and TM-FF3 and HM-FF3 models show that managers do not own it; （iii） as far as the managers＇ market timing ability is concerned, both above-mentioned models show that managers do not own it, but not evidently; and （iv） no evidence indicates that managers obtain excess profit by getting insider information.

关 键 词：基金业绩 证券选择能力 市场择时能力 内幕消息 

分 类 号：F832.5[经济管理—金融学]