我国证券投资基金预测能力的决定因素研究

发布时间：2018-03-12 14:54

本文选题：基金业绩　切入点：选股能力　出处：《证券市场导报》2012年09期 　论文类型：期刊论文

【摘要】：基金预测能力是评价基金业绩的重要指标。本文利用扩展的T-M模型与H-M模型实证检验了基金的预测能力,发现有近45%的基金具有显著的选股能力,另近25%的基金具有显著的负择时能力。在基金预测能力检验的基础上,本文从基金特征、基金经理特征及基金家族特征入手探讨了影响基金预测能力的因素。通过Logit模型回归发现,基金公司规模、基金经理薪酬占总费用的比例及"自下而上"的资产配置理念对基金的选股能力具有显著的正面影响,而基金自身规模对选股能力具有负面效果。从择时能力上看,基金年限与基金经理薪酬占总费用的比例对基金的负择时具有显著"贡献",而基金公司规模对基金的负择时具有显著抑制作用。此外,没有发现基金经理特征影响基金预测能力的证据。
[Abstract]:The forecast ability of funds is an important index to evaluate the performance of funds. This paper uses the extended T-M model and H-M model to test the forecasting ability of the funds. It is found that nearly 45% of the funds have remarkable stock selection ability. In addition, nearly 25% of the funds have significant negative timing ability. The characteristics of fund managers and the characteristics of fund families are discussed, and the factors influencing the ability of fund prediction are discussed. By Logit model regression, the size of fund companies is found. The proportion of compensation to total cost and the "bottom-up" concept of asset allocation have a significant positive impact on the ability to select stocks, while the size of the fund itself has a negative effect on the ability to select stocks. The ratio of the years of the fund to the remuneration of the fund manager as a percentage of the total cost has a significant "contribution" to the negative timing of the fund, while the size of the fund company has a significant inhibitory effect on the negative timing of the fund. There is no evidence that the characteristics of fund managers affect the ability of fund prediction.
【作者单位】：山东大学经济学院;
【基金】：教育部人文社会科学研究青年基金(10YJC790059、10YJC790318) 山东大学自主创新基金(2009GN015)]
【分类号】：F224;F832.51

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