基于T-M模型的中国开放式基金择时选股能力实证研究

发布时间：2018-05-25 20:17

本文选题：开放式基金 + 选股能力　；参考：《华中科技大学》2012年硕士论文

【摘要】：2001年我国第一只开放式基金——“华安创新”诞生，这标志着我国基金业的发展实现了从封闭式基金到开放式基金的历史性跨越，从此开放式基金逐渐取代封闭式基金成为中国基金市场发展的方向。随后，基金公司不断涌现、基金品种层出不穷，至今，基金种类已经实现了股票型基金、债券型基金、混合型基金以及近些年出现的指数型基金、上市型开放式基金、合格境内机构投资者（QDII）、合格境外机构投资者（QFII）等全面发展。证券投资基金已经成为我国证券市场中最具影响力、最不可或缺的机构投资者，其投资理念、投资策略和管理水平以及投资业绩对我国证券市场的稳定和发展起着非常重要的作用。鉴于此，本文对我国不同类别开放式基金业绩进行实证分析和评估，具有相当重要现实意义。本文主要通过学习和借鉴国内外学者对开放式基金选股择时能力的模型和方法，，以资本资产定价理论（CAPM）为基础，运用T-M模型对我国2006年以前成立的128支不同类型的开放式基金在三个时间段内进行选股择时能力实证分析和研究，并进行统计研究，发现我国大部分基金经理的选股择时能力水平都很低，尤其体现在择时能力方面，只有少数的基金经理具备较低的选股能力。然后，对我国基金选股择时能力水平低的原因进行分析，并提出相关改进建议。
[Abstract]:In 2001, China's first open-end fund, "Hua'an Innovation", was born, which marks the historic leap from closed-end fund to open-end fund in the development of Chinese fund industry. Since then, open-end funds have gradually replaced closed-end funds as the direction of the development of the Chinese fund market. Then, the fund company emerges unceasingly, the fund variety emerges one after another, so far, the fund type has already realized the stock fund, the bond fund, the mixed fund and the index fund which appears in recent years, the listed open-end fund. QFIIs, QFIIs, QFIIs, QFIIs, etc. Securities investment funds have become the most influential and indispensable institutional investors in China's securities market. Investment strategy and management level as well as investment performance play a very important role in the stability and development of China's securities market. In view of this, this paper makes an empirical analysis and evaluation of the performance of different types of open-end funds in China, which is of great practical significance. Based on the capital asset pricing theory (CAPMM), this paper mainly studies and draws lessons from the models and methods of the open-end fund's stock timing ability of domestic and foreign scholars, which are based on the capital asset pricing theory. Using T-M model, this paper makes empirical analysis and research on the stock timing ability of 128 different types of open-end funds established before 2006 in three time periods, and carries on the statistical research. It is found that the level of stock timing ability of most fund managers in China is very low, especially in the aspect of timing ability, and only a few fund managers have lower stock selection ability. Then, the paper analyzes the reasons for the low level of China's fund timing ability, and puts forward some suggestions for improvement.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】