中国阳光私募基金流动性择时能力的实证研究  

An Empirical Study of China Sunshine Private Funds' Liquidity Timing Ability

作　　者：郭万山[1] 赵天宇[1] 

机构地区：[1]辽宁大学经济学院,辽宁沈阳110036

出　　处：《金融发展研究》2017年第12期20-28,共9页Journal Of Financial Development Research

摘　　要：流动性择时是衡量基金经理应对市场流动性改变而调整风险敞口的能力。利用2007年7月至2016年8月的阳光私募基金月收益样本,研究了不同投资策略下基金经理的流动性择时能力。研究结果表明,阳光私募基金具有显著的流动性择时能力。其中,定向增发、套利型、多策略、组合基金策略具有显著的、稳健的正流动性择时能力;股票型、多空仓、宏观策略则具有显著的负流动性择时能力。相比而言,中国资本市场中相应策略的国际对冲基金的流动性择时能力稳健性更高。Liquidity timing is a measure of fund managers' ability to adjust exposure to market liquidity changes.In this paper,based on monthly returns samples of Sunshine private equity fund from July 2007 to August 2016,we study fund managers' liquidity timing ability under different investment strategies. The results show that the Sunshine private equity fund has a significant liquidity timing ability. Among them,private placement,arbitrage,multi-strategy,fund of funds strategy boast a significant and stable positive liquidity timing ability. Equity-oriented,long short,macro strategy have a significant negative liquidity timing ability. In contrast, international hedge funds with corresponding strategies in China's capital market are more resilient to liquidity timing.

关 键 词：市场流动性 择时能力 阳光私募基金 对冲基金 

分 类 号：F832.5[经济管理—金融学]