中国证券投资基金选股能力和择机能力的实证研究  

An Empirical Study of the Selectivity and Market Timing of the Chinese Securities Investment Funds

作　　者：彭晗[1] 

机构地区：[1]上海财经大学经济学院,上海200083

出　　处：《贵州财经学院学报》2002年第4期21-25,共5页Journal of Guizhou College of Finance and Economics

摘　　要：应用Treynor—Mazuy模型和Bhattacharya—Pfleiderer模型对我国 2 2家证券投资基金的选股能力和择机能力进行实证研究。研究结果表明基金总体上具有较好的市场择机能力 ,但却没有对基金的选股能力提供有力的支持 ,基金资产规模大小和设立时间早晚对两项衡量指标也有一定的影响。基金的选股能力和择机能力之间呈明显负相关。Using the Treynor-Mazuy model and Bhattacharya-Pfleiderer model, this paper presents an empirical examination of the selectivity and market timing performance of a sample of 22 Chinese securities investment funds. The results show that overall the funds have fairly good market timing ability, but does not provide enough support for selectivity, that their assets size and time of establishment have an impact on both selectivity and timing, and that selectivity is inversely related to timing.

关 键 词：中国 证券投资基金 选股能力 择机能力 实证研究 

分 类 号：F832.51[经济管理—金融学]