明星基金选股择时能力实证研究  

Empirical Research on Ability of Stock Picking and Market Timing of the Star Fund

作　　者：丁小虎[1] 

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233000

出　　处：《嘉兴学院学报》2016年第3期93-105,共13页Journal of Jiaxing University

摘　　要：基于Wind资讯对明星基金的综合评级,选取五星级开放式偏股混合型基金为样本,通过构建T-M模型、H-M模型、TM-FF3模型和HM-FF3模型对我国明星基金的选股择时能力进行实证研究。结果表明:明星基金收益率受系统性风险影响较为显著,几乎不能逆势获取超额收益;在样本期内,明星基金可以通过较好的选股能力和一定的择时能力获得超额收益,在股市行情趋势明显时期,明星基金选股能力减弱,择时能力显著提高;当明星基金不同时具备正的选股、择时能力时,基金获得超额收益的基础在于选股能力和择时能力相对水平更高的一方。Based on the overall rating of the star funds,the Five-Star open-ended and hybrid funds are selected as samples to study stock picking and timing abilities of the star fund by setting up TM model,HMM model,TM-FF3 model and HM-FF3 model.The results show：First,the earnings yield of the star fund is impacted greatly by systemic risks,and can hardly gain excess returns.Second,in the sample period,the star fund can obtain excess returns through its good stock picking and timing ability.When the stock market trend is clear,its stock picking ability will decrease while its timing ability will increase dramatically.Third,if the star fund possesses no positive stock picking or timing ability,the basis for the fund to obtain excess returns depends on which is stronger,stock picking ability or timing ability.

关 键 词：明星基金 选股择时能力 T-M模型 H-M模型 TM-FF3模型 HM-FF3模型 

分 类 号：F832.51[经济管理—金融学]