中国证券投资基金股票选择与时机选择能力实证分析
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摘要
投资基金的评价方面的问题在国外有数十年的研究历史，目前对国内证券投资基金的评价也逐渐成为学者研究和投资者关注的热点之一。本文集中研究中国证券投资基金的股票选择能力和时机选择能力。首先对已有的国外进行的利用基金净值对基金的业绩和能力进行评价的各种理论和实证研究进行了回顾和述评；而后，应用常用的评价方法对部分中国证券投资基金股票选择能力和时机选择能力进行了实证研究。
全文分为三个部分。
第一部分是文献回顾。对投资基金绩效评价的各种理论、方法以及利用这些方法进行的实证分析作回顾性描述。本部分力图抓住各种理论方法的核心思想，并且表现出这些理论方法之间的关系。
第二部分是实证研究的样本、数据和方法。对目前我国证券投资基金的时机选择和股票选择能力评价存在的问题做一简单分析，而后阐述本文的实证分析采用的样本、数据和方法以及这样做的原因。
第三部分是实证结果分析。本部分首先将实证研究的结果进行简单的叙述和分析，而后，比较不同基准组合、不同评价方法(当评价股票选择能力时)以及不同评价时段对基金评价的影响。
本文结论：(1)根据本文的样本数据，在2000年1月14日至2001年12月28日这一时段中，大部分样本基金在TM方法和HM方法之下都不表现出显著的股票选择和时机选择能力，但是将该时段大致分为两个均等的时段时，情况有较大不同：突出表现在时段Ⅰ(2000年1月14日至2001年1月5日)有部分样本基金表现出显著的时机选择能力，时段Ⅱ(2001年1月12日至2001年12月28日)有相当比例的样本基金表现出显著为负的β_2，没有基金表现出显著的时机选择能力；同时，时段Ⅰ没有样本基金表现出显著的股票选择能力，
中国证券投资基金股票选择与时机选择能力实证分析
时段＊部分样本基金表现出显著的股票选择能力。这说明对基金股票选择能力
和时机选择的评价结果与评价时段有关。（2）采用中信指数和国债指数共同构
造的基准收益率的模型在没有基金表现出显著为负的A时，拟合程度高于其它
两个基准；用上证指数构造的基准对股票选择和时机选择能力的检验结果和其
它二基准存在一定差异，直接采用中信指数构造的基准和利用中信指数和中信
国债指数共同构造的基准表现非常接近。这说明对基金股票选择能力和时机选
择的评价结果与评价基准的选择和构造有关。（3）使用詹森方法估计基金的股
票选择能力的确会受到时机选择能力较为明显的影响，其结论与 TM方法和 HM
方法有较大的不同。这说明，在市场存在时机选择的可能性时，使用詹森方法
评价基金的股票选择能力是不太合适的。（4）在没有基金表现出显著的时机选
择能力，但大量基金表现出负向八估计值和显著为负的八的现象可能和市场连
续下跌有关。这说明对基金股票选择能力和时机选择的评价结果可能随评价时
市场情况不同而不同。
本文建议：由于没有一家基金表现出持续显著的时机选择或者股票选择能
力，所以基金管理人需要在股票选择和时机选择两个方面加强自身的能力。对
普通投资者而言，无针对性地选择基金进行投资，往往不能获得超常收益率。
由于显著的基金股票选择能力和时机选择能力表现出的持续性较差，所以通过
研究基金的历史能力的表现对普通投资者选择基金的帮助可能也不大。
The topic about the evaluation of investment fund has been studied for years abroad. Recently, the study in this field is becoming more and more attractive in China. By reviewing the abroad theoretical and empirical studies, this thesis comments the methods of evaluation the investment fund's performance and management ability depend on the increasing rate of funds' net value. Then, after processing an empirical analysis on the selectivity and timing ability applying some methods in common use, the thesis analyzes the features when evaluating investment funds' investment management ability on different conditions under China's reality. This thesis contains three parts:
The first part is a Review. In this part, I review and comment some theories, methods and related empirical analysis existed. The focus of this part is the description and analysis of the theories' kernels and the relationship between these theories and methods.
The second part is the samples, data and methods in my empirical study. Firstly, 1 analyze the problems exist in the evaluation aimed at the selectivity and timing ability of China's Security Investment Funds briefly. Secondly, I description the samples, data and methods used in my empirical analysis and the reason that I use these samples, data and methods.
The third part is the discussion of the results of empirical results. In this part, I analyzed the results of my empirical analysis briefly, then, I try to compare the evaluation results when applying different benchmarks, different methods when evaluating selectivity ability and different periods.
These conclusions can be made: A majority of the sample funds have neither
significant selectivity ability nor significant timing ability from January 14th, 2000 to December 28th, 2001 (as an overall period) when evaluated by TM method and HM method. But when divided the entire period into two almost equal length sub period, the results differed. Especially, in the first period (from January 14th, 2000 to January 5th, 2001), some sample funds showed a significant timing ability; in the second period (from January 12th, 2001 to December 28th, 2001), no sample fund exhibited significant timing ability, quite some sample funds showed a significant
negative p2. No sample funds showed significant selectivity ability in the first
period. In the second period, some sample funds shows significant selectivity ability. This means that there is some relationship between the evaluation result of selectivity and timing ability and the evaluation period. In the period when no fund exhibits a significant negative p2, the benchmark constructed by Zhong Xin Index
and Zhong Xin Treasure Bond's Index shows a better model fit degree than other two benchmarks (one is constructed by Shanghai Security Exchange Composite Index, the other is constructed by Zhong Xin Index). There are some difference between the benchmark based on Shanghai Security Exchange Composite Index and other two benchmarks based on Zhong Xin Index when evaluating selectivity and timing ability. The performance of the two benchmarks based on Zhong Xin Index when evaluating selectivity and timing ability are quite alike. This means that there are some difference between the evaluation result of selectivity and timing ability and the benchmark's selection and construction. When evaluating the selectivity ability, the Jensen's method was really be distinctly influenced by timing ability, the results is quite different from the TM and HM method. This means that when there exist the possibility of timing selection in the stock's market, Jensen's method is not so suitable for the evaluation of funds' selectivity ability. The phenomena that no fund exhibited significant timing ability and at the same time lot's of funds exhibited
significant negative /?2 was possibly caused by the continuous decreasing of stock
market's performance. This means that evaluation result of selectivity and timing ability may changed with the stock market's change.
Suggestions: No sample fund exhi
全文分为三个部分。
第一部分是文献回顾。对投资基金绩效评价的各种理论、方法以及利用这些方法进行的实证分析作回顾性描述。本部分力图抓住各种理论方法的核心思想，并且表现出这些理论方法之间的关系。
第二部分是实证研究的样本、数据和方法。对目前我国证券投资基金的时机选择和股票选择能力评价存在的问题做一简单分析，而后阐述本文的实证分析采用的样本、数据和方法以及这样做的原因。
第三部分是实证结果分析。本部分首先将实证研究的结果进行简单的叙述和分析，而后，比较不同基准组合、不同评价方法(当评价股票选择能力时)以及不同评价时段对基金评价的影响。
本文结论：(1)根据本文的样本数据，在2000年1月14日至2001年12月28日这一时段中，大部分样本基金在TM方法和HM方法之下都不表现出显著的股票选择和时机选择能力，但是将该时段大致分为两个均等的时段时，情况有较大不同：突出表现在时段Ⅰ(2000年1月14日至2001年1月5日)有部分样本基金表现出显著的时机选择能力，时段Ⅱ(2001年1月12日至2001年12月28日)有相当比例的样本基金表现出显著为负的β_2，没有基金表现出显著的时机选择能力；同时，时段Ⅰ没有样本基金表现出显著的股票选择能力，
中国证券投资基金股票选择与时机选择能力实证分析
时段＊部分样本基金表现出显著的股票选择能力。这说明对基金股票选择能力
和时机选择的评价结果与评价时段有关。（2）采用中信指数和国债指数共同构
造的基准收益率的模型在没有基金表现出显著为负的A时，拟合程度高于其它
两个基准；用上证指数构造的基准对股票选择和时机选择能力的检验结果和其
它二基准存在一定差异，直接采用中信指数构造的基准和利用中信指数和中信
国债指数共同构造的基准表现非常接近。这说明对基金股票选择能力和时机选
择的评价结果与评价基准的选择和构造有关。（3）使用詹森方法估计基金的股
票选择能力的确会受到时机选择能力较为明显的影响，其结论与 TM方法和 HM
方法有较大的不同。这说明，在市场存在时机选择的可能性时，使用詹森方法
评价基金的股票选择能力是不太合适的。（4）在没有基金表现出显著的时机选
择能力，但大量基金表现出负向八估计值和显著为负的八的现象可能和市场连
续下跌有关。这说明对基金股票选择能力和时机选择的评价结果可能随评价时
市场情况不同而不同。
本文建议：由于没有一家基金表现出持续显著的时机选择或者股票选择能
力，所以基金管理人需要在股票选择和时机选择两个方面加强自身的能力。对
普通投资者而言，无针对性地选择基金进行投资，往往不能获得超常收益率。
由于显著的基金股票选择能力和时机选择能力表现出的持续性较差，所以通过
研究基金的历史能力的表现对普通投资者选择基金的帮助可能也不大。
The topic about the evaluation of investment fund has been studied for years abroad. Recently, the study in this field is becoming more and more attractive in China. By reviewing the abroad theoretical and empirical studies, this thesis comments the methods of evaluation the investment fund's performance and management ability depend on the increasing rate of funds' net value. Then, after processing an empirical analysis on the selectivity and timing ability applying some methods in common use, the thesis analyzes the features when evaluating investment funds' investment management ability on different conditions under China's reality. This thesis contains three parts:
The first part is a Review. In this part, I review and comment some theories, methods and related empirical analysis existed. The focus of this part is the description and analysis of the theories' kernels and the relationship between these theories and methods.
The second part is the samples, data and methods in my empirical study. Firstly, 1 analyze the problems exist in the evaluation aimed at the selectivity and timing ability of China's Security Investment Funds briefly. Secondly, I description the samples, data and methods used in my empirical analysis and the reason that I use these samples, data and methods.
The third part is the discussion of the results of empirical results. In this part, I analyzed the results of my empirical analysis briefly, then, I try to compare the evaluation results when applying different benchmarks, different methods when evaluating selectivity ability and different periods.
These conclusions can be made: A majority of the sample funds have neither
significant selectivity ability nor significant timing ability from January 14th, 2000 to December 28th, 2001 (as an overall period) when evaluated by TM method and HM method. But when divided the entire period into two almost equal length sub period, the results differed. Especially, in the first period (from January 14th, 2000 to January 5th, 2001), some sample funds showed a significant timing ability; in the second period (from January 12th, 2001 to December 28th, 2001), no sample fund exhibited significant timing ability, quite some sample funds showed a significant
negative p2. No sample funds showed significant selectivity ability in the first
period. In the second period, some sample funds shows significant selectivity ability. This means that there is some relationship between the evaluation result of selectivity and timing ability and the evaluation period. In the period when no fund exhibits a significant negative p2, the benchmark constructed by Zhong Xin Index
and Zhong Xin Treasure Bond's Index shows a better model fit degree than other two benchmarks (one is constructed by Shanghai Security Exchange Composite Index, the other is constructed by Zhong Xin Index). There are some difference between the benchmark based on Shanghai Security Exchange Composite Index and other two benchmarks based on Zhong Xin Index when evaluating selectivity and timing ability. The performance of the two benchmarks based on Zhong Xin Index when evaluating selectivity and timing ability are quite alike. This means that there are some difference between the evaluation result of selectivity and timing ability and the benchmark's selection and construction. When evaluating the selectivity ability, the Jensen's method was really be distinctly influenced by timing ability, the results is quite different from the TM and HM method. This means that when there exist the possibility of timing selection in the stock's market, Jensen's method is not so suitable for the evaluation of funds' selectivity ability. The phenomena that no fund exhibited significant timing ability and at the same time lot's of funds exhibited
significant negative /?2 was possibly caused by the continuous decreasing of stock
market's performance. This means that evaluation result of selectivity and timing ability may changed with the stock market's change.
Suggestions: No sample fund exhi
引文
1、吴世农：《高级管理统计方法》，中国对外经济贸易出版社，1997年9月。
2、李博、吴世农：“基金业绩评价的实证研究”，《证券市场导报》，2001年8月号，P25-30。
3、王聪：“证券投资基金绩效评估模型分析”，《经济研究》，2001年第9期，P31-38。
4、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。
5、〔美〕威廉F．夏普著，胡坚 译：《投资组合理论与资本市场》，机械工业出版社，2001年3月。
6、王霞，“证券投资基金评价研究”，《研究报告》，深圳证券交易所综合研究所，2001年10月。
7、吴世农、李培标：“中国投资基金证券选择能力和时机选择能力的实证研究”，《经济管理》，2002年第4期，P65-70。
8、Admati. A., Bhattacharya S., Pfleiderer. P., and Ross. S., "On Timing and Selectivity", Journal of Finance 41, July 1986, P715-730.
9、Chen. N., Copeland. T., and Mayers D., "A Comparison of Single and Multifactor Portfolio Performance Methodologies", Journal of Finance and Quantitative Analysis 22, December 1987, P401-417.
10、Dybvig. P., and S. Ross, "Differential Information and Performance Measurement Using a Security Market Line", Journal of Finance 40, June 1985. P383-399.
11、Dybvig P., and S. Ross, "The Analytics of Performance Measurement Using a Security Market Line", Journal of Finance 40, June 1985, P401-416.
12、Grinblatt. M., and S. Titman., "The Relation Between Mean-Variance and Arbitrage Pricing", Journal of Business, January 1987, P97-112.
13、Grinblatt. M., and S. Titman., "Portfolio Performance Evaluation: Old Issues and New Insights", Review of Financial Studies 2, Volume 2,1989,P393-421.
14、Grinblatt. M., and S. Titman., "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings", Journal of Business 62, July 1989, P393-416.
15、Grinblatt. M., and S. Titman., "The Persistence of Mutual Fund Performance", Journal of Finance 47, December 1992,P1977-1984.
16、Grinblatt. M., and S. Titman., "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns" Journal of Business 66, No.1, P47-68.
17、Grinblatt M., and S. Titman., "A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques", Journal of Finance and Quantitative Analysis 22, September1994, P419-444.
18、Grinblatt. M., and S. Titman., and R. Wermers., "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior", The American Economic Review 85, December1995, P1088-1105.
19、Hendricks. D., J. Patel., and R. Zeckhauster., "Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988", Journal of Finance48, March1993, P93-130.
20、Henriksson. R. and R. Merton, "On Marketing Timing and Investment Performance. Ⅱ. Statistical Procedures for Evaluating Forecasting Skills", Journal of Business54, October1981, P513-533.
21、Henriksson. R., "Market Timing and Mutual Fund Performance: An Empirical Investigation", Journal of Business 57, January 1984, P73-96.
22、Jensen. M., "The Performance of Mutual Funds in the Period 1945-1964", Journal of Finance23, May1968, P389-416.
23、Roll. R., "Ambiguity When Performance is Measured by the Security Market Line", Journal of Finance 33, September1978, P1051-1069.
24、Sharpe. W. "Mutual Fund Performance", Journal of Business 39, January1966, P119-138.
25、全景中文网：http://www.p5w.net/。
26、易富网：http://www.eefoo.com/。
27、中信金融网：http://www.citics.com/。
28、中信系列指数：http://202.108.253.173/asp/index/index.asp。
29、中国证券报互动版：http://www.cs.com.cn/。
2、李博、吴世农：“基金业绩评价的实证研究”，《证券市场导报》，2001年8月号，P25-30。
3、王聪：“证券投资基金绩效评估模型分析”，《经济研究》，2001年第9期，P31-38。
4、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。
5、〔美〕威廉F．夏普著，胡坚 译：《投资组合理论与资本市场》，机械工业出版社，2001年3月。
6、王霞，“证券投资基金评价研究”，《研究报告》，深圳证券交易所综合研究所，2001年10月。
7、吴世农、李培标：“中国投资基金证券选择能力和时机选择能力的实证研究”，《经济管理》，2002年第4期，P65-70。
8、Admati. A., Bhattacharya S., Pfleiderer. P., and Ross. S., "On Timing and Selectivity", Journal of Finance 41, July 1986, P715-730.
9、Chen. N., Copeland. T., and Mayers D., "A Comparison of Single and Multifactor Portfolio Performance Methodologies", Journal of Finance and Quantitative Analysis 22, December 1987, P401-417.
10、Dybvig. P., and S. Ross, "Differential Information and Performance Measurement Using a Security Market Line", Journal of Finance 40, June 1985. P383-399.
11、Dybvig P., and S. Ross, "The Analytics of Performance Measurement Using a Security Market Line", Journal of Finance 40, June 1985, P401-416.
12、Grinblatt. M., and S. Titman., "The Relation Between Mean-Variance and Arbitrage Pricing", Journal of Business, January 1987, P97-112.
13、Grinblatt. M., and S. Titman., "Portfolio Performance Evaluation: Old Issues and New Insights", Review of Financial Studies 2, Volume 2,1989,P393-421.
14、Grinblatt. M., and S. Titman., "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings", Journal of Business 62, July 1989, P393-416.
15、Grinblatt. M., and S. Titman., "The Persistence of Mutual Fund Performance", Journal of Finance 47, December 1992,P1977-1984.
16、Grinblatt. M., and S. Titman., "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns" Journal of Business 66, No.1, P47-68.
17、Grinblatt M., and S. Titman., "A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques", Journal of Finance and Quantitative Analysis 22, September1994, P419-444.
18、Grinblatt. M., and S. Titman., and R. Wermers., "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior", The American Economic Review 85, December1995, P1088-1105.
19、Hendricks. D., J. Patel., and R. Zeckhauster., "Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988", Journal of Finance48, March1993, P93-130.
20、Henriksson. R. and R. Merton, "On Marketing Timing and Investment Performance. Ⅱ. Statistical Procedures for Evaluating Forecasting Skills", Journal of Business54, October1981, P513-533.
21、Henriksson. R., "Market Timing and Mutual Fund Performance: An Empirical Investigation", Journal of Business 57, January 1984, P73-96.
22、Jensen. M., "The Performance of Mutual Funds in the Period 1945-1964", Journal of Finance23, May1968, P389-416.
23、Roll. R., "Ambiguity When Performance is Measured by the Security Market Line", Journal of Finance 33, September1978, P1051-1069.
24、Sharpe. W. "Mutual Fund Performance", Journal of Business 39, January1966, P119-138.
25、全景中文网：http://www.p5w.net/。
26、易富网：http://www.eefoo.com/。
27、中信金融网：http://www.citics.com/。
28、中信系列指数：http://202.108.253.173/asp/index/index.asp。
29、中国证券报互动版：http://www.cs.com.cn/。