我国私募基金择时选股能力的实证分析  

An Empirical Study of Stock-picking and Market-timing Abilities in Chinese Private Equity

作　　者：彭小兵[1] 李瑞涛[1] 申云[2] 

机构地区：[1]重庆大学公共管理学院,重庆400044 [2]重庆大学人文学部,重庆400044

出　　处：《山东财经大学学报》2015年第2期79-85,共7页Journal of Shandong University of Finance and Economics

基　　金：重庆市社会科学规划一般项目"三峡库区农业产业化过程中金融服务模式创新研究"(2013YBJJ031)

摘　　要：本文运用传统的参数检验方法(TM-FF3)模型出发,考虑到公共信息会影响测量择时选股能力,引入市场人气度反应公共信息,构建基于公共信息变量的修正TM-FF3模型,对筛选出私募基金样本股票数据进行择时选股能力实证分析。研究结果发现,引入公共信息控制变量后,修正模型拟合度更好;控制公共信息变量引起的偏差,更能准确测量出私募基金的择时能力。私募基金至少需具备显著择时和选股能力其中一种,以择时能力为主。Via the revised TM - FF3 model based on public information variables and market popularity public information, this paper empirically analyzes the stock - picking and market - timing abilities through response the stock data about the selected private equity samples. The research results show that the fitting degree of the revised model functions better when public information control variables are introduced, and that the deviationcaused by controlling public information variables can measure more accurately the market timing ability of private equity. Therefore, private equity must possess stock picking ability or market timing ability with the latter as priority.

关 键 词：私募基金 选股能力 择时能力 公共信息因子 

分 类 号：F830.91[经济管理—金融学]