绿色基金投资风格漂移与基金业绩评价  

Investment Style Drift and Performance Evaluation of Green Funds

作　　者：张强[1] 董佳 刘善存[2] ZHANG Qiang;DONG Jia;LIU Shancun(School of Economics and Management,Beijing University of Chemical Technology,Beijing 100029,China;School of Economics and Management,Beihang University,Beijing 100083,China)

机构地区：[1]北京化工大学经济管理学院,北京100029 [2]北京航空航天大学经济管理学院,北京100083

出　　处：《北京航空航天大学学报（社会科学版）》2023年第3期157-167,共11页Journal of Beijing University of Aeronautics and Astronautics：Social Sciences edition Edition

基　　金：国家自然科学基金项目(71771008);中央高校基本科研业务费专项资金项目(PT2015,XK1802-5)。

摘　　要：基于2015—2019年中国股票型、偏股混合型绿色基金日收益率数据,采用Fama-French五因子模型和调整后的风格择时五因子模型,探究不同检验期内绿色基金的投资风格漂移及基金经理的选股择时能力对基金业绩的影响。实证结果表明:绿色基金存在投资风格漂移现象;风格漂移在短期和中期会给基金业绩带来负面影响;绿色基金整体上并未获得基于绿色理念的超额收益;基金经理的盈利择时能力仅在长期对基金业绩影响最为显著,市值择时能力、账面市值比择时能力、投资择时能力和选股能力对绿色基金业绩的影响甚微。Based on the data of daily return of China’s equity green funds and equity hybridist green funds from 2015 to 2019,the paper adopts Fama-French five-factor model and the improved TM-FF5 model to test the effects of the investment style drift of green funds and fund manager’s ability in stock selection and style timing on the performance of green funds in different test periods.The results of the empirical study show that there is investment style drift in green funds,which will have a negative effect on the performance of green funds in the short and medium terms.Green funds as a whole haven’t gained excess returns from the green ideas.In addition,the profit style timing ability of green fund managers has the most significant impact on the performance of green funds only in the long term,while the market value timing ability,book to market ratio timing ability,investment timing ability,and stock selection ability have little impact on the performance of green funds.

关 键 词：绿色基金 风格漂移 风格择时 绩效评价 因子模型 

分 类 号：F830.9[经济管理—金融学]