我国证券投资基金择时能力实证研究
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摘要
在西方特雷那和玛足(1966)发表文章讨论基金的择时选股能力开始，西方的经济学家们就掀起了对基金择时选股能力的考察浪潮。在马柯维滋(1952)的证券投资组合理论发表后，在此基础上由夏普(1964)、林特纳(1965)、莫辛(1966)三位经济学家构建的资本资产定价模型(单因素CAMP)，基本而言，论证基金择时能力评估的基石确立了。此后出现了大量的基金择时能力考核的方法模型，比如早期最有影响特雷那和玛足(1966)、何日可森和莫顿(1981)。早期的模型是建立在单因素资本资产定价模型的基础上的。随着西方经济学家以罗尔(1976)为代表的学者对股票、基金市场的大量的实证研究，发现了大量的由单一因素的资本资产定价模型所不能解释的现象，因此就出现了罗斯(1976)的套利定价模型，莫顿的长期资本资产定价模型，以及最近的条件资本资产定价模型，在这些模型的基础上，经济学家们通过批判、改造、重新建立了许许多多的基金业绩评价模型和方法。与此同时随着以格来特门和泰塔门(1989)为代表的学者对以往的研究进行了批判，提出了独特的事件研究方法，并且提出了和以往的收益率时间序列研究得出的不同的研究结果。
随着研究的深化，人们不再满足于笼统的知道基金的投资收益或者风险调整中风险的比率，而是向基金的“内在因素”提出要求。这可以理解为，基金绩效研究从外生给定的因素(如风险和收益)发展到基于基金特征构造的内在因素(如基金经理的证券选择能力)。正是从外在因素向内在因素的发展，使得近期的研究又转向探讨基金的投资风格、管理及申购费用、规模、存续时间、基金管理公司的结构与基金绩效的关系等。但迄今为止，关于因素或指标选择的争论仍未达成一致意见，不同的国家和基金样本，用不同的模型和因素都有可能对绩效进行较为准确的评估。
本文正是在这样的目的下写作的。
本文的创新在于：从基金择时能力和择股能力的分离和基金经济学上的意义开始，从经济学的角度更加明晰“择时”的意义，避免了仅仅是实证的盲目性。参考现在最新的VAR方法，讨论了基金择时能力的保险功能。并且同时在“拿来主义”和“怀疑一切”的方法论的指导下，从新考虑国外的研究模式和结论在中国的适用性。在基本着眼点上，从基金时间收益率序列研究到基金投资组合研究，两相对照，使的研究结论和研究角度更加全面。分步骤的考量：模型、基准、无风险利率、研究时间单位的长短对基金择时能力的影响和中国特色。讨论了从统计方法上用细致的非参数、参数检验方法对基金择时能力进行检验。
通过分析，本研究的主要结论是：
浙江大学硕士学位论文
我国证券投资基金择时能力实证研究
(一)研究样本数据无自相关性，能满足OLS回归计算的基本前提，所选
用的理论模型(CAPM模型，詹森回归模型，T一M模型，H一M模型、C一L等)
在我国目前基金市场具有较好的适用性和实践指导意义。
(二)我国证券投资基金整体业绩相对于市场基准来说具有较高的盈利能
力，但尚缺乏统计意义上的支持，并伴有较高的风险。
(三)我国投资基金的择时能力会在不同条件背景下呈现不同“庐山面目”。
(四)投资组合的方法思路有助于弥补单一从收益率时间序列考虑基金择时
能力的误差。
(五)研究时间单位的不同对研究的结果有比较明显的影响。
论文力求以严谨、简洁、创新和深入的风格进行创作，但是在时间局限、文
献局限的条件下，深感目标实现的困难。当然这些客观条件丝毫不能减轻笔者学
识浅短的内在根源。若以此文能获取理论研究或者实务操作上的些许争议，逞论
进展，则是本文的最大目的。
After Terynor and Mazuyoriginally introduced the performance of inverstment funds in 1966, much researh has been done on the performance evaluation of funds.And though decads of year's hard work, experts abroad have set up a mature and systemic theory system .
However, people do not satisfy the simple income of investment funds or the ratio of risk to venture adjusting, but want to know the interior structure of funds. So the recent research is focusing on the investment style of funds, scale,duration and the relationship of structure of fund company with the performance of the funds and so on. But, from now on, there are still some disagreement in the choosing of index. Different country and fund sample could do some precise evaluation as well. And this is the main purpose of this paper.
There are several innovations in this dissertation. Based on the seperation of funds time choosing and stocks choosing ability , the paper makes more distinct meaning of time choosing from the point of economics . Under the background of China economy, it use a lot of abroad research result to get seveal novel ideas. The major point of this paper is doing some research on funds income time series and funds investment combination. Step by step, it also review facts such as the model, norm, no risk interest and the lenth of time unit which make some effects on the funds time chooing ability. And in this paper, seveal statistic methods such as non-parameter and parameter test are used to prove the funds choosing ability.
The research makes the following conclusions:
1.The data in my study is not auto correlated, which meets the requirements of the OLS method. And the methods selected (CAPM model, Jesen model, T-M model, H-M model) can be applied in the funds market in China and serve as guidance.
2.The performance of funds market in our country is better than the whole security market. But due to lack of Statistical support, and it is full of high risks.
3.With the different background , The ability of China's security investment funds has various aspects.
4.The idea of investment combination could help to remend the error which comes from the income time series .
5.The difference of research time unit makes great effect on the research result.
随着研究的深化，人们不再满足于笼统的知道基金的投资收益或者风险调整中风险的比率，而是向基金的“内在因素”提出要求。这可以理解为，基金绩效研究从外生给定的因素(如风险和收益)发展到基于基金特征构造的内在因素(如基金经理的证券选择能力)。正是从外在因素向内在因素的发展，使得近期的研究又转向探讨基金的投资风格、管理及申购费用、规模、存续时间、基金管理公司的结构与基金绩效的关系等。但迄今为止，关于因素或指标选择的争论仍未达成一致意见，不同的国家和基金样本，用不同的模型和因素都有可能对绩效进行较为准确的评估。
本文正是在这样的目的下写作的。
本文的创新在于：从基金择时能力和择股能力的分离和基金经济学上的意义开始，从经济学的角度更加明晰“择时”的意义，避免了仅仅是实证的盲目性。参考现在最新的VAR方法，讨论了基金择时能力的保险功能。并且同时在“拿来主义”和“怀疑一切”的方法论的指导下，从新考虑国外的研究模式和结论在中国的适用性。在基本着眼点上，从基金时间收益率序列研究到基金投资组合研究，两相对照，使的研究结论和研究角度更加全面。分步骤的考量：模型、基准、无风险利率、研究时间单位的长短对基金择时能力的影响和中国特色。讨论了从统计方法上用细致的非参数、参数检验方法对基金择时能力进行检验。
通过分析，本研究的主要结论是：
浙江大学硕士学位论文
我国证券投资基金择时能力实证研究
(一)研究样本数据无自相关性，能满足OLS回归计算的基本前提，所选
用的理论模型(CAPM模型，詹森回归模型，T一M模型，H一M模型、C一L等)
在我国目前基金市场具有较好的适用性和实践指导意义。
(二)我国证券投资基金整体业绩相对于市场基准来说具有较高的盈利能
力，但尚缺乏统计意义上的支持，并伴有较高的风险。
(三)我国投资基金的择时能力会在不同条件背景下呈现不同“庐山面目”。
(四)投资组合的方法思路有助于弥补单一从收益率时间序列考虑基金择时
能力的误差。
(五)研究时间单位的不同对研究的结果有比较明显的影响。
论文力求以严谨、简洁、创新和深入的风格进行创作，但是在时间局限、文
献局限的条件下，深感目标实现的困难。当然这些客观条件丝毫不能减轻笔者学
识浅短的内在根源。若以此文能获取理论研究或者实务操作上的些许争议，逞论
进展，则是本文的最大目的。
After Terynor and Mazuyoriginally introduced the performance of inverstment funds in 1966, much researh has been done on the performance evaluation of funds.And though decads of year's hard work, experts abroad have set up a mature and systemic theory system .
However, people do not satisfy the simple income of investment funds or the ratio of risk to venture adjusting, but want to know the interior structure of funds. So the recent research is focusing on the investment style of funds, scale,duration and the relationship of structure of fund company with the performance of the funds and so on. But, from now on, there are still some disagreement in the choosing of index. Different country and fund sample could do some precise evaluation as well. And this is the main purpose of this paper.
There are several innovations in this dissertation. Based on the seperation of funds time choosing and stocks choosing ability , the paper makes more distinct meaning of time choosing from the point of economics . Under the background of China economy, it use a lot of abroad research result to get seveal novel ideas. The major point of this paper is doing some research on funds income time series and funds investment combination. Step by step, it also review facts such as the model, norm, no risk interest and the lenth of time unit which make some effects on the funds time chooing ability. And in this paper, seveal statistic methods such as non-parameter and parameter test are used to prove the funds choosing ability.
The research makes the following conclusions:
1.The data in my study is not auto correlated, which meets the requirements of the OLS method. And the methods selected (CAPM model, Jesen model, T-M model, H-M model) can be applied in the funds market in China and serve as guidance.
2.The performance of funds market in our country is better than the whole security market. But due to lack of Statistical support, and it is full of high risks.
3.With the different background , The ability of China's security investment funds has various aspects.
4.The idea of investment combination could help to remend the error which comes from the income time series .
5.The difference of research time unit makes great effect on the research result.
引文
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8 Dybvig, Philip H., and Stephen A. Ross, 1985a, The Analytics of Performance Measurement a Security Market Line, Journal of Finance, 40(2), 401- 416., 1985b, Performance Measurement using Differential Information and a Security
9 Market Line, Journal of Finance, 40(2), 383 - 399.
10 Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 1996, The Persistence of Risk-Adjusted Mutual Fund Performance, Journal of Business, 69(2), 133-157.
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13 Hendricks, Darryll, Jayendu Patel, and Richard Zeckhauser, 1993, Hot Hands in Mutual Funds: Short Run Persistence of Relative Performance, 1974-1988, Journal of Finance, 48(1), 93- 130.
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2 Brown, Stephen J., and William N. Goetzmann, 1995, Performance Persistence, Journal of Finance, 50(2), 679-698.
3 Brown, Stephen J., William N. Goetzmann, Roger G. Ibbotson, and Stephen A. Ross, 1992, Survivorship Bias in Performance Studies, Review of Financial Studies, 5(4), 553- 580.
4 Brown, Stephen J., William N. Goetzmann, and Stephen A. Ross, 1995, Survival, Journal of Finance, 50(3), 853-873.
5 Chang, Eric C., and Wilbur G. Lewellen, 1985, An Arbitrage Pricing Approach to EvaluatingMutual Fund Performance, Journal of Financial Research, 8(1), 15- 30.
6 Connor, Gregory, and Robert A. Korajczyk, 1986, Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis, Journal of Financial Economics, 15(3), 373- 394.
7 Cornell, Bradford, 1979, Asymmetric Information and Portfolio Performance Measurement, a) Journal of Financial Economics, 7, 381 -390.
8 Dybvig, Philip H., and Stephen A. Ross, 1985a, The Analytics of Performance Measurement a Security Market Line, Journal of Finance, 40(2), 401- 416., 1985b, Performance Measurement using Differential Information and a Security
9 Market Line, Journal of Finance, 40(2), 383 - 399.
10 Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 1996, The Persistence of Risk-Adjusted Mutual Fund Performance, Journal of Business, 69(2), 133-157.
11 Elton, Edwin J., Martin J. Gruber, Sanjiv Das, and Matthew Hlavka, 1993, Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios, Review of Financial Studies, 6(1), 1-22.
12 Grinblatt, Mark, and Sheridan Titman, 1989a, Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings, Journal of Business, 62(3), 393 -416., 1989b, Portfolio Performance Evaluation: Old Issues and New Insights, Review of Financial Studies, 2(3), 393-421.
13 Hendricks, Darryll, Jayendu Patel, and Richard Zeckhauser, 1993, Hot Hands in Mutual Funds: Short Run Persistence of Relative Performance, 1974-1988, Journal of Finance, 48(1), 93- 130.
14 Henriksson, Roy D., 1984, Market Timing and Mutual Fund Performance: An Empirical Investigation, Journal of Business, 57(1), 73-96.
15 Henriksson, Roy O., and Robert C. Merton, 1981, On Market Timing and Investment Performance. Ⅱ. Statistical Procedures for Testing
Forecasting Skills, Journal of Business, 54(4), 513- 534.
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