我国证券投资基金预测能力的决定因素研究  

The Determinants of the Forecasting Ability of Chinese Securities Mutual Funds

作　　者：高金窑[1] 张晓雪[1] 

机构地区：[1]山东大学经济学院,山东济南250100

出　　处：《证券市场导报》2012年第9期65-70,共6页Securities Market Herald

基　　金：教育部人文社会科学研究青年基金(10YJC790059;10YJC790318);山东大学自主创新基金(2009GN015)]

摘　　要：基金预测能力是评价基金业绩的重要指标。本文利用扩展的T-M模型与H-M模型实证检验了基金的预测能力,发现有近45%的基金具有显著的选股能力,另近25%的基金具有显著的负择时能力。在基金预测能力检验的基础上,本文从基金特征、基金经理特征及基金家族特征入手探讨了影响基金预测能力的因素。通过Logit模型回归发现,基金公司规模、基金经理薪酬占总费用的比例及"自下而上"的资产配置理念对基金的选股能力具有显著的正面影响,而基金自身规模对选股能力具有负面效果。从择时能力上看,基金年限与基金经理薪酬占总费用的比例对基金的负择时具有显著"贡献",而基金公司规模对基金的负择时具有显著抑制作用。此外,没有发现基金经理特征影响基金预测能力的证据。The forecasting ability of mutual fund has great importance in performance evaluation. An extended T-M model and H-M model are used to examine the forecasting abilities of domestic equity mutual funds. We find that 45% of the total observations have significant positive security-selection abilities and 25% of the total observations have significant negative market-timing abilities. We further investigate the determinants of mutual fund＇s forecasting abilities from the characters of mutual fund, from the characters of mutual fund managers, and from the characters of mutual fund companies. After using Logit model regression, we document positive contributions from the size of mutual fund companies, the ratio of fund manager＇s rewards to total cost, and the bottomup asset allocation strategy, while negative contributions from the size the mutual fund itself to the mutual funds＇ security-selection abilities. As for the market-timing abilities, we find the age of mutual fund and the ratio of fund manager＇s rewards to total cost have significant negative effects, while the size of mutual fund company can alleviate this negative effects. In addition, we find no correlations between the characters of mutual fund managers and the mutual funds＇ forecasting abilities.

关 键 词：基金业绩 选股能力 择时能力 

分 类 号：F830.9[经济管理—金融学]