证券公司自营绩效评价与择时能力识别  

Evaluation of Securities Companies' Self-operated Business Performance and Identification of Market-timing Risk

作　　者：张怡[1] 田穗[2] 

机构地区：[1]中国人民大学商学院,北京100872 [2]杭州电子科技大学财经学院,浙江杭州310000

出　　处：《金融理论与实践》2007年第9期62-64,共3页Financial Theory and Practice

摘　　要：对2004-2006年证券行业和abc公司自营业务的实证分析表明,不同年份abc公司的投资能力表现出不同水准,但总的趋势是择时能力和择股能力在不断提高。证券行业2005年和2006年的择时能力不如2004年,2005年、2006年行业内公司的盈利能力开始分化。经过模型验证,基于持仓的分析方法与基于收益的方法结论相同,可以为实务界采用。This paper presents an empirical analysis of the self-operated business of securities industry and abc company in 2004-2006.It indicates that the overall trend is continuous increase in market-timing risk identification and in stock selection although abc company＇s investment ability in market-timing risk identification either in 2005 or in 2006 was not so good as in 2004,since the companies in the industry saw a weakened profit-making ability in the two years.According to the model test,the conclusion drawn from the holding-based method is the same as that made from the return-based method.The holding-based method can be utilized by the practice field.

关 键 词：证券公司 自营业务 绩效评价 择时能力 

分 类 号：F830.91[经济管理—金融学]