证券基金择时择股能力评价研究
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摘要
自从1998年首只新基金问世以来，我国的证券投资基金业得到了迅猛的发展，基金规模不断增加。在市场中的地位不断提高，对整个股市的影响也日益增强。基金的快速发展不但丰富了证券市场的投资品种，推动了证券市场的规范化发展，给投资者提供了更多的投资选择机会，同时也给基金公司带来了空前激烈的竞争。基金公司的良莠不齐也对政府部门的监管提出了新的要求。此外，面临更多投资机会和更大的决策空间，为了维持决策的准确性，投资者急需理论研究进行指导。因此，理论界和实务界都极为关注基金的综合研究，以便为投资者提供决策依据，为基金公司发展战略及激励机制的制定提供基础，同时也为监管部门提供政策制定的落脚点。
本文主要从中国市场的实际出发，对国内外的证券基金业绩评价体系进行全面的理论研究，着重对证券基金业绩的分解研究进行了探讨，并运用分别基于CAPM和Fama—French三因素模型的Treynor—Mazuy模型、Henriksson—Merton模型和Chang—Lewellen模型等基金经理择时能力和择股能力评价模型对我国的证券基金业绩进行全面的实证分析。
通过对在1999年10月之前上市的15只基金的实证结果表明，我国基金表现了一定的证券选择能力和时机选择能力，但总体上没有表现出显著的择时和择股能力。2001年7月开始的股市调整中，甚至有部分基金经理表现出显著的负向的择时能力。而基金管理公司之间以及不同规模的投资基金之间也表现出一定的投资管理能力差异和规模效益。
Since 1998,we have witnessed rapid growth of Chinese securities funds. The market capitalization and status of fund industry have been increased ceaselessly,its influence on stock market has been enlarged. The fund's rapid growth enriches the investment tools,boosts the canonical development of stock market,provides more investment chances to investors,and brings intensive competition to fund management corporations. The situation that good and bad are intermingled also brings forward a new theories to direct their decision making process in order to maintain the veracity of investment decisions when facing more investment chances. So,research on the fund industry,especially on fund performance,has attracted the attention of practitioners and theoreticians,so as to provide a foundation for investor's decision making and afford the groundwork for fund corporation's development stratagem and prompting mechanism.
In this paper,we measure the performance of Chinese equity funds,using Treynor-Mazuy model,Henriksson-Merton model and Chang-Lewellen model which are based on CAPM and Fama-French three factors model respectively in measuring the manager's market timing ability and security selection ability. The empirical evidence indicates that the managers don't exhibit superior market timing ability but exhibit certain security selection ability. Especially during the adjustment period since July 2001,the performance of Chinese equity funds is bad and the most managers exhibit reverse market timing ability.
本文主要从中国市场的实际出发，对国内外的证券基金业绩评价体系进行全面的理论研究，着重对证券基金业绩的分解研究进行了探讨，并运用分别基于CAPM和Fama—French三因素模型的Treynor—Mazuy模型、Henriksson—Merton模型和Chang—Lewellen模型等基金经理择时能力和择股能力评价模型对我国的证券基金业绩进行全面的实证分析。
通过对在1999年10月之前上市的15只基金的实证结果表明，我国基金表现了一定的证券选择能力和时机选择能力，但总体上没有表现出显著的择时和择股能力。2001年7月开始的股市调整中，甚至有部分基金经理表现出显著的负向的择时能力。而基金管理公司之间以及不同规模的投资基金之间也表现出一定的投资管理能力差异和规模效益。
Since 1998,we have witnessed rapid growth of Chinese securities funds. The market capitalization and status of fund industry have been increased ceaselessly,its influence on stock market has been enlarged. The fund's rapid growth enriches the investment tools,boosts the canonical development of stock market,provides more investment chances to investors,and brings intensive competition to fund management corporations. The situation that good and bad are intermingled also brings forward a new theories to direct their decision making process in order to maintain the veracity of investment decisions when facing more investment chances. So,research on the fund industry,especially on fund performance,has attracted the attention of practitioners and theoreticians,so as to provide a foundation for investor's decision making and afford the groundwork for fund corporation's development stratagem and prompting mechanism.
In this paper,we measure the performance of Chinese equity funds,using Treynor-Mazuy model,Henriksson-Merton model and Chang-Lewellen model which are based on CAPM and Fama-French three factors model respectively in measuring the manager's market timing ability and security selection ability. The empirical evidence indicates that the managers don't exhibit superior market timing ability but exhibit certain security selection ability. Especially during the adjustment period since July 2001,the performance of Chinese equity funds is bad and the most managers exhibit reverse market timing ability.
引文
[1] Jensen M. C, The performance of Mutual Funds in the Period, 1945-1964, Journal of Finance 23, 1968, pp89-416.
[2] Treynor J. L, How to Rate Management of Investment Funds, Harvard Business Review 44, 1965, pp63-75.
[3] Sharp W. F, Mutual Fund Performance, Journal of Business 1, 1966, pp119-138.
[4] Merton R., On Marketing Timing and Investment performance Ⅰ: An Equilibrium Theory of Value for Market Forecast, Journal of Business 54, 1981, pp363-406.
[5] Dilip Kumar Parto, Measuring Performance of International Closed-end Funds, Journal of Banking & Finance 25, 2001, 991741-1767.
[6] Riccardo C., Fabio P., The performance of Italian Equity Funds, Journal of Banking & Finance, 2002, pp99-126.
[7] Antonella Basso, Stefania Funari, A data envelopment analysis approach to measure the mutual fund performance, European Journal of Operational Research 135, 2001, pp477-492.
[8] Jenke ter Horst and Marno Verbeek, Estimating short-run persistence in mutual fund performance, The review of Economices and Statistics, Nov., 2000, pp646-655.
[9] Anthony L. Loviscek, W. John Jordan, Stock selection based on Momingstar's ten-year, five-star general equity mutual funds, Financial Services Review 9, 2000, pp145-157.
[10] Fama E., French K., 1993, Common Risk Factors in the Returns on Stock and Bonds, Journal of Financial Economics 33, 1993, pp3-56.
[11] Damato, Karen, Morningstar Edges Toward One-Year Ratings, The wall Street Journal, April 5, 1996, p. C1.
[12] Markowitz, Harry, Portfolio Selection, Journal of Finance, March 1952, pp77-91.
[13] Sharp, William F., Momingstar's Performance Measures, 1997.
[14] Campbell, John Y, Andrew A. Lo, A. Craig MacKinlay, The Econometrics of Financial Markets, Princeton University Press, 1997.
[15] Ferson Wayne E, Rudi W. Schadt, Measuring Fund Strategy And Performance in Changing Economic Conditions, Journal of Finance, 1996, 51 (2), pp425-461.
[16] Fama Eugene F, French G, The cross-section of expected stock returns, Journal of Finance, 1992(47), pp427-466
[17] Fama E. F, French K. R., The CAPM is wanted, dead or alive. Working paper, University of Chicago, 1995.
[18] Chen R, Roll Ross, Economic forces and the stock market. Journal of business, 1986(59), pp383-403.
[19] Cumby R. E., J. D. Glen, Evaluating the performance of international mutual funds, Journal of Finance, 1990, 45(2), pp497-521.
[20] Chen Z, P. Knez, Portfolio performance measurement: Theory and evidence, Review of Financial Studies, 1996(9), pp551-556.
[21] Hansen Lars P., Large sample properties of the generalized method of moments estimators, Econometrics, 1982(50), pp1029-1054.
[22] Hendricks Darryll, Jayendu Patel, Richard Zeckhauser, Hot hands in mutual funds: Short run persistence of relative performance 1974-1988, Jouurnal of Finance, 1993, 48(1), pp93-130.
[23] Lehmann Brucem, David Modest, Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons, Journal of Finance, 1987, 42(2), pp233-265.
[24] Merton R. C., On market timing and investment performance Ⅰ: An equilibrium theory of value for market forecasts, Journal of Business, 1981, 54(3), pp363-406.
[25] Kang Jangkoo Long, Bond mutual fund performance evaluation: The numeraire portfolio approach, Working paper, University of Rochester, 1995.
[26] Roll R., Ambiguity when performance is measured by the securities market line. Journal of Finance, 1978, 33 (4), pp1051-1069.
[27] Fama E., Efficient capital markets: A review of theory and empirical work, Journal of Finance. 1972(27), pp383-417.
[28] Goetzmann William, Roger G. Ibbotoson., Do winners repeat? Patterns in mutual fund performance, Journal of portfolio management, 1994(20), pp9-18.
[29] Otten R., D. Bams, European mutual fund performance: A survey. European financial management, 2001.
[30] Henriksson R. D., Market timing and mutual fund performance: An empirical investigation, Journal of Business, 1984, 57(1), pp73-96.
[31] Henriksson R. D., R. C. Merton, On market timing and investment performance. Ⅱ, Stastistical procedures for evaluating forecasting skills, Journal of Business, 1981, 54(4), pp513-533.
[32] 汪光成，基金的市场时机把握能力研究，《经济研究》，2001年第1期。
[33] 胡昌生，证券基金绩效评价方法，《数量经济技术经济研究》，2001年第4期。
[34] 马永开，唐小我，投资基金业绩评价方法，《数量经济技术经济研究》，2002年第1期。
[35] 俞乔，市场有效、周期异常与股价波动，《经济研究》，1994年第9期。
[36] 邹春霞，董琼慧，新基金绩效测定与特征分析，《中国流通经济》，2000年第2期。
[37] 史代敏，投资基金绩效评价方法的比较与实证研究，《西南民族学院学报．哲学社会科学版》，2001年第10期。
[38] 陈学英，投资基金业绩综合评价的指数法及其应用，《财贸经济》，2000年第5期。
[39] 吴世农，1996，我国证券市场效率的分析，《经济研究》，1996年第4期。
[40] 徐涵江，证券投资基金经营业绩评价研究及其实证分析，《统计研究》第4期。
[41] 陆成来，彭文兵，投资基金业绩评价的方法研究，《当代财经》，2000年第12期。
[42] 王聪，证券投资基金绩效评价模型分析，《经济研究》，2001年第9期。
[43] 吴启芳，陈收等，基金绩效评价中的证券选择和市场时机选择，《预测》，2002年第3期，p26-30。
[44] 沈维涛，黄兴孪，我国证券投资基金业绩的实证研究与评价，《经济研究》，2001年第9期，p22-30。
[45] 陈友邦，邢战坤，葛乐夫，投资基金业绩评价的探讨，《财经问题研究》，1999年第11期。
[46] 王性玉，田军，基金业绩指标评价体系研究，《经济经纬》，2001年第1期，p44-46。
[47] 包明宝，投资基金业绩的实证分析，《学海》，2000年第5期，p82-85
[48] 陈友邦，我国运用现代评价方法进行投资基金业绩评价的设想，《东北财经大学学报》，2000年第11期，p55-57。
[49] 王志诚，证券投资基金评价的方法和实证研究，北京大学金融教学与金融工程研究中心，国研网，2000年。
[50] 李月平等著，《基金投资管理》，2002年，经济科学出版社。
[51] 小詹姆斯 L．法雷尔等著，齐寅峰等译，《投资组合管理理论及应用》，2000年，机械工业出版社。
[52] 国信证券有限公司课题组，证券投资基金评价与绩效研究，上证联合研究计划第二期课题之六 (a)。
[53] 复旦大学课题组，证券投资基金绩效评价与风险度量的实证分析，上证联合研究计划第二期课题之六 (b)。
[2] Treynor J. L, How to Rate Management of Investment Funds, Harvard Business Review 44, 1965, pp63-75.
[3] Sharp W. F, Mutual Fund Performance, Journal of Business 1, 1966, pp119-138.
[4] Merton R., On Marketing Timing and Investment performance Ⅰ: An Equilibrium Theory of Value for Market Forecast, Journal of Business 54, 1981, pp363-406.
[5] Dilip Kumar Parto, Measuring Performance of International Closed-end Funds, Journal of Banking & Finance 25, 2001, 991741-1767.
[6] Riccardo C., Fabio P., The performance of Italian Equity Funds, Journal of Banking & Finance, 2002, pp99-126.
[7] Antonella Basso, Stefania Funari, A data envelopment analysis approach to measure the mutual fund performance, European Journal of Operational Research 135, 2001, pp477-492.
[8] Jenke ter Horst and Marno Verbeek, Estimating short-run persistence in mutual fund performance, The review of Economices and Statistics, Nov., 2000, pp646-655.
[9] Anthony L. Loviscek, W. John Jordan, Stock selection based on Momingstar's ten-year, five-star general equity mutual funds, Financial Services Review 9, 2000, pp145-157.
[10] Fama E., French K., 1993, Common Risk Factors in the Returns on Stock and Bonds, Journal of Financial Economics 33, 1993, pp3-56.
[11] Damato, Karen, Morningstar Edges Toward One-Year Ratings, The wall Street Journal, April 5, 1996, p. C1.
[12] Markowitz, Harry, Portfolio Selection, Journal of Finance, March 1952, pp77-91.
[13] Sharp, William F., Momingstar's Performance Measures, 1997.
[14] Campbell, John Y, Andrew A. Lo, A. Craig MacKinlay, The Econometrics of Financial Markets, Princeton University Press, 1997.
[15] Ferson Wayne E, Rudi W. Schadt, Measuring Fund Strategy And Performance in Changing Economic Conditions, Journal of Finance, 1996, 51 (2), pp425-461.
[16] Fama Eugene F, French G, The cross-section of expected stock returns, Journal of Finance, 1992(47), pp427-466
[17] Fama E. F, French K. R., The CAPM is wanted, dead or alive. Working paper, University of Chicago, 1995.
[18] Chen R, Roll Ross, Economic forces and the stock market. Journal of business, 1986(59), pp383-403.
[19] Cumby R. E., J. D. Glen, Evaluating the performance of international mutual funds, Journal of Finance, 1990, 45(2), pp497-521.
[20] Chen Z, P. Knez, Portfolio performance measurement: Theory and evidence, Review of Financial Studies, 1996(9), pp551-556.
[21] Hansen Lars P., Large sample properties of the generalized method of moments estimators, Econometrics, 1982(50), pp1029-1054.
[22] Hendricks Darryll, Jayendu Patel, Richard Zeckhauser, Hot hands in mutual funds: Short run persistence of relative performance 1974-1988, Jouurnal of Finance, 1993, 48(1), pp93-130.
[23] Lehmann Brucem, David Modest, Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons, Journal of Finance, 1987, 42(2), pp233-265.
[24] Merton R. C., On market timing and investment performance Ⅰ: An equilibrium theory of value for market forecasts, Journal of Business, 1981, 54(3), pp363-406.
[25] Kang Jangkoo Long, Bond mutual fund performance evaluation: The numeraire portfolio approach, Working paper, University of Rochester, 1995.
[26] Roll R., Ambiguity when performance is measured by the securities market line. Journal of Finance, 1978, 33 (4), pp1051-1069.
[27] Fama E., Efficient capital markets: A review of theory and empirical work, Journal of Finance. 1972(27), pp383-417.
[28] Goetzmann William, Roger G. Ibbotoson., Do winners repeat? Patterns in mutual fund performance, Journal of portfolio management, 1994(20), pp9-18.
[29] Otten R., D. Bams, European mutual fund performance: A survey. European financial management, 2001.
[30] Henriksson R. D., Market timing and mutual fund performance: An empirical investigation, Journal of Business, 1984, 57(1), pp73-96.
[31] Henriksson R. D., R. C. Merton, On market timing and investment performance. Ⅱ, Stastistical procedures for evaluating forecasting skills, Journal of Business, 1981, 54(4), pp513-533.
[32] 汪光成，基金的市场时机把握能力研究，《经济研究》，2001年第1期。
[33] 胡昌生，证券基金绩效评价方法，《数量经济技术经济研究》，2001年第4期。
[34] 马永开，唐小我，投资基金业绩评价方法，《数量经济技术经济研究》，2002年第1期。
[35] 俞乔，市场有效、周期异常与股价波动，《经济研究》，1994年第9期。
[36] 邹春霞，董琼慧，新基金绩效测定与特征分析，《中国流通经济》，2000年第2期。
[37] 史代敏，投资基金绩效评价方法的比较与实证研究，《西南民族学院学报．哲学社会科学版》，2001年第10期。
[38] 陈学英，投资基金业绩综合评价的指数法及其应用，《财贸经济》，2000年第5期。
[39] 吴世农，1996，我国证券市场效率的分析，《经济研究》，1996年第4期。
[40] 徐涵江，证券投资基金经营业绩评价研究及其实证分析，《统计研究》第4期。
[41] 陆成来，彭文兵，投资基金业绩评价的方法研究，《当代财经》，2000年第12期。
[42] 王聪，证券投资基金绩效评价模型分析，《经济研究》，2001年第9期。
[43] 吴启芳，陈收等，基金绩效评价中的证券选择和市场时机选择，《预测》，2002年第3期，p26-30。
[44] 沈维涛，黄兴孪，我国证券投资基金业绩的实证研究与评价，《经济研究》，2001年第9期，p22-30。
[45] 陈友邦，邢战坤，葛乐夫，投资基金业绩评价的探讨，《财经问题研究》，1999年第11期。
[46] 王性玉，田军，基金业绩指标评价体系研究，《经济经纬》，2001年第1期，p44-46。
[47] 包明宝，投资基金业绩的实证分析，《学海》，2000年第5期，p82-85
[48] 陈友邦，我国运用现代评价方法进行投资基金业绩评价的设想，《东北财经大学学报》，2000年第11期，p55-57。
[49] 王志诚，证券投资基金评价的方法和实证研究，北京大学金融教学与金融工程研究中心，国研网，2000年。
[50] 李月平等著，《基金投资管理》，2002年，经济科学出版社。
[51] 小詹姆斯 L．法雷尔等著，齐寅峰等译，《投资组合管理理论及应用》，2000年，机械工业出版社。
[52] 国信证券有限公司课题组，证券投资基金评价与绩效研究，上证联合研究计划第二期课题之六 (a)。
[53] 复旦大学课题组，证券投资基金绩效评价与风险度量的实证分析，上证联合研究计划第二期课题之六 (b)。