基于广义加性分位数回归的基金经理选股与择时能力评价

发布时间：2018-03-24 19:56

本文选题：选股能力　切入点：择时能力　出处：《财会月刊》2017年35期

【摘要】：为准确评价基金经理的选股与择时能力,在分位数框架下,使用广义加性结构对三因子T-M模型进行拓展,提出了广义加性分位数回归模型,既增强了模型在与分位点对应的不同市场环境下的解释能力,又能够避免三因子T-M模型形式误设带来的误差,提高评价效率。通过对我国2005~2015年的347只基金收益数据的实证研究,发现:广义加性分位数回归模型能够准确地评价基金经理的选股与择时能力,并且其能力表现在不同分位点处存在差异;基金经理普遍不具有选股能力但具有一定的择时能力;基金经理的选股与择时能力受市场态势的影响较大,牛市时基金经理能够更好地对股票进行选择,而熊市更利于基金经理把握投资机会。
[Abstract]:In order to accurately evaluate the stock selection and timing ability of fund managers, the generalized additive structure is used to extend the T-M model, and a generalized additive quantile regression model is proposed. It not only enhances the interpretation ability of the model in different market environments corresponding to the loci, but also avoids the errors brought by the form error of the three-factor T-M model, and improves the evaluation efficiency. The empirical study on 347 fund income data from 2005 to 2015 in China is carried out. It is found that the generalized additive quantile regression model can accurately evaluate the stock selection and timing ability of fund managers, and their abilities are different at different loci, fund managers generally do not have stock selection ability but have certain timing ability. The ability of stock selection and timing of fund managers is greatly affected by market situation. In bull market, fund managers can better choose stocks, while bear market is more conducive to fund managers to seize investment opportunities.
【作者单位】：合肥工业大学管理学院;合肥工业大学过程优化与智能决策教育部重点实验室;
【基金】：国家社会科学基金项目(项目编号:15BJY008) 教育部人文社会科学研究规划基金项目(项目编号:14YJA790015) 安徽省哲学社会科学规划基金项目(项目编号:AHSKY2014D103)
【分类号】：F832.51

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