私募基金经理过往经历、选股能力与择时能力关系研究  

Research on the Relationship between the Past Experience,Stock Selection Ability and Timing Ability of Private Fund Managers

作　　者：刘振邦 张天西[1] 颜熔荣 Liu Zhenbang;Zhang Tianxi;Yah Rongrong(Antai College of Economics and Management,Shanghai Jiao Tong University,Shanghai 200030,China)

机构地区：[1]上海交通大学安泰经济与管理学院,上海200030

出　　处：《上海管理科学》2018年第5期40-46,共7页Shanghai Management Science

摘　　要：借助TM模型和HM模型对样本月度超额收益进行回归分析,并且从两个方面进行了稳健性检验,即对单个样本进行时间序列检验和区分牛熊市阶段进行稳健性检验。实证结果表明,具备产业经验的基金经理表现出更好的选股能力,而具备交易经验的基金经理择时能力仅在牛市显著。To understand the nature of hedge fund managers′skills,we choose TM model and the HM model to analysis the relationship.Also,we test the stability by market and year.It is found that the industry group has a stock-picking skill and is stronger than the trading group;trading group has timing skill and is stronger than industry group only in unilateral positive market.

关 键 词：私募基金 基金经理 选股能力 择时能力 

分 类 号：F832.5[经济管理—金融学]