我国基金经理逃顶的实证分析
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摘要
证券投资基金在中国虽然起步较晚,但如今已成为一种大众投资工具,受到机构投资者与个人投资者的青睐。与股票相比,基金使用了投资组合分散风险,使投资者避免遭受巨大的市场风险。与债券银行储蓄相比,基金的收益率相对较高,而且基金的变现性也是债券与储蓄不可比拟的。我国经济持续稳定发展的趋势在未来一段时期内不会改变,从长期看,证券市场也必将反映这一状况,重在价值投资分享经济增长收益的开放式基金必然会获得迅速增长,投资开放式基金的收益将能够满足广大中小投资者的要求。开放式基金的收益取决于许多因素,例如市场一般的收益水平,基金面临的市场风险,基金经理的投资才能。而本文研究其中一个因素,基金经理投资才能,即在短期内市场波动时基金经理逃顶的研究。
本文的研究意义在于,对我国开放式基金经理人逃顶能力做了理论的探讨。文章首先对我国证券投资基金做了基本概述,由此引申到对证券投资基金中开放式基金的业绩研究分析。
研究基金业绩的理论方法包括传统的评价方法,以及新的通过研究基金选股择时能力,来评价基金业绩的方法。本文就是将基金选股择时能力的模型使用条件放宽,研究短期内在股市波动时基金的选股择时能力,从而反映基金经理人逃顶的成功与否。
在研究方法中,本文首先对证券投资基金选股和择时能力研究理论与方法进行了系统的回顾总结。包括传统的指数衡量法,以及国际上较为成熟的T-M,H-M模型等。
本文选取了2007年9,10,11月以及2009年6,7,8月我国经历的两次股市暴跌的时间段来考察基金经理逃顶的情况。而基金则随机抽样选取排名在不同等级的基金44只,经过回归分析,T检验等。这里选取了T-M模型进行回归分析,得出结论：2007年9,10,11月份中44只基金没有表现出显著的选股能力,而有鹏华中国50,融通新蓝筹混合,中信红利,交银成长这四只基金表现出显著正向的择时能力,即这44只基金中,有四只基金经理成功逃顶。
2009年6,7,8月中,华夏大盘精选,华宝先进成长两只基金表现出了显著正向的选股能力,同时只有工银精选平衡、国投瑞银创新这两只基金具有显著正向的择时能力。
而由于数据的拟合结果中,调整的可决系数值,表明模型对数据拟合较好。
对比两次择时能力情况,即两次经历了暴跌时,成功逃顶的几只基金都不同,也就是两年前的逃顶与这次逃顶不是同一批人逃顶。这也正验证了有效市场理论,没有基金经理能够在扣除成本的情况下,跑赢同行,也没有基金经理能够跑赢市场。
With development of the Chinese security fund market, more and more people and Institutional Investors invest in the fund. Compared with the stocks, the fund uses the investment portfolio risk diversification, to enable investors to avoid exposure to significant market risk. Compared with bank savings and bonds, the Fund's yield is relatively high and the Fund's liquidity is also the incomparable savings bonds.
China's sustained economic development trend in the coming period of time will not change over the long term and the stock market will also reflect this situation. Focusing on value investing to share benefits of economic growth, the open-end fund will be able to meet the requirements of medium and small investors.
While this paper studies one of the factors which affecting fund performance. That is during the volatility of stock market in the short term, the timing of fund managers escaping from the stock market. Mentioning the research methods, this article systematically reviews and summarizes securities investment funds, stock picking and timing ability research theory and method.
This paper attempts to evaluate securities selection and market timing ability of open-end fund in China during the period of September October and November in 2007 and the period of June July and August in 2009 through the international matured T-M model. Selected 44 funds of different levels in the equity fund, using regression analysis, T tests, and then draw conclusions. During September October November in 2007,44 funds does not display significant stock selection ability, while Peng Hua Zhong Guo 50,Rong Tong Xin Lan Chou Hun He, CITIC bonuses, Jiao Yin Cheng Zhang, these four funds show a significant positive ability of timing. There are four top fund managers successfully escaping from the stock market. During June July and August in 2009, Hua Xia Da Pan Jing Xuan and Hua Bao Xian Jin Cheng Zhang display significant stock selection ability, while Gong Yin Jing Xuan Ping Heng,Guo Tou Rui Yin Chuang Xin, the two funds show a significant positive ability of timing.
The outcome verifies efficient market theory, there is no fund manager can outperform peers, there is no fund manager can beat the market.
本文的研究意义在于,对我国开放式基金经理人逃顶能力做了理论的探讨。文章首先对我国证券投资基金做了基本概述,由此引申到对证券投资基金中开放式基金的业绩研究分析。
研究基金业绩的理论方法包括传统的评价方法,以及新的通过研究基金选股择时能力,来评价基金业绩的方法。本文就是将基金选股择时能力的模型使用条件放宽,研究短期内在股市波动时基金的选股择时能力,从而反映基金经理人逃顶的成功与否。
在研究方法中,本文首先对证券投资基金选股和择时能力研究理论与方法进行了系统的回顾总结。包括传统的指数衡量法,以及国际上较为成熟的T-M,H-M模型等。
本文选取了2007年9,10,11月以及2009年6,7,8月我国经历的两次股市暴跌的时间段来考察基金经理逃顶的情况。而基金则随机抽样选取排名在不同等级的基金44只,经过回归分析,T检验等。这里选取了T-M模型进行回归分析,得出结论：2007年9,10,11月份中44只基金没有表现出显著的选股能力,而有鹏华中国50,融通新蓝筹混合,中信红利,交银成长这四只基金表现出显著正向的择时能力,即这44只基金中,有四只基金经理成功逃顶。
2009年6,7,8月中,华夏大盘精选,华宝先进成长两只基金表现出了显著正向的选股能力,同时只有工银精选平衡、国投瑞银创新这两只基金具有显著正向的择时能力。
而由于数据的拟合结果中,调整的可决系数值,表明模型对数据拟合较好。
对比两次择时能力情况,即两次经历了暴跌时,成功逃顶的几只基金都不同,也就是两年前的逃顶与这次逃顶不是同一批人逃顶。这也正验证了有效市场理论,没有基金经理能够在扣除成本的情况下,跑赢同行,也没有基金经理能够跑赢市场。
With development of the Chinese security fund market, more and more people and Institutional Investors invest in the fund. Compared with the stocks, the fund uses the investment portfolio risk diversification, to enable investors to avoid exposure to significant market risk. Compared with bank savings and bonds, the Fund's yield is relatively high and the Fund's liquidity is also the incomparable savings bonds.
China's sustained economic development trend in the coming period of time will not change over the long term and the stock market will also reflect this situation. Focusing on value investing to share benefits of economic growth, the open-end fund will be able to meet the requirements of medium and small investors.
While this paper studies one of the factors which affecting fund performance. That is during the volatility of stock market in the short term, the timing of fund managers escaping from the stock market. Mentioning the research methods, this article systematically reviews and summarizes securities investment funds, stock picking and timing ability research theory and method.
This paper attempts to evaluate securities selection and market timing ability of open-end fund in China during the period of September October and November in 2007 and the period of June July and August in 2009 through the international matured T-M model. Selected 44 funds of different levels in the equity fund, using regression analysis, T tests, and then draw conclusions. During September October November in 2007,44 funds does not display significant stock selection ability, while Peng Hua Zhong Guo 50,Rong Tong Xin Lan Chou Hun He, CITIC bonuses, Jiao Yin Cheng Zhang, these four funds show a significant positive ability of timing. There are four top fund managers successfully escaping from the stock market. During June July and August in 2009, Hua Xia Da Pan Jing Xuan and Hua Bao Xian Jin Cheng Zhang display significant stock selection ability, while Gong Yin Jing Xuan Ping Heng,Guo Tou Rui Yin Chuang Xin, the two funds show a significant positive ability of timing.
The outcome verifies efficient market theory, there is no fund manager can outperform peers, there is no fund manager can beat the market.
引文
[1]Jensen M.C. The Performance of Mutual Funds in the Period 1945-1964. Journal of Finance,1968,23:97-110
[2]Treynor J I, Mazuy. Can Mutual Funds Outguess the Market? HarvardBusiness Review,1966,44:131-136
[3]Henriksson R D, Merton. On Market Timing and Investment Performance:Statistical Procedure for Evaluating, Forecasts Skills. Journal Of Business,1981,54:217-235
[4]Henriksson R D. Market Timing and Mutual Fund Performance:An Empirical Investigation. Journal Of Business,1984,57,73-96
[5]O. P. Gupta and Amitabh Gupta, An Empirical Testing of Market Timing Abilities of Indian Mutual Fund Managers.8th Annual Conference of APFA, Bangkok,2001,51:511-523
[6]Robin Greenwood and Stefan Nagel, Inexperienced Investors and Bubbles.
[7]Wermers R. Mutual fund performance:an empirical decomposition into stock picking talent, style, transactions costs and expenses. Journal of Finance,2000,(55):1655-1703
[8]王庆石,肖俊喜。风险调整的投资组合绩效测度指标综合评价。世界经济,2001,(10)：63-70
[9]沈维涛,黄兴孪。我国证券投资基金业绩的实证研究与分析。经济研究,2001,(9)：22-30
[10]刘红忠等。 证券投资基金效绩评估与风险度量的实证分析。 上海证券交易所研究报告,2001,上证联合研究计划2001卷：75-80
[11]姚兴涛,迟海燕,张乃禄。 证券投资基金时机选择能力的实证研究证券市场导报,2001,(12)：35-38
[12]张新,杜书明。 中国证券投资基金能否战胜市场。金融研究,2002,(1)： 1-22
[13]陈彦玲,胡丽霞。我国开放式基金绩效评价的实证研究。经济与管理研究2003,(2)：61-63
[14]周泽炯,史本山。我国开放式基金选股能力和择时能力的实证研究。财贸研究,2004,(6)：92-97
[15]杜金岷,廖仁英。我国开放式基金业绩评价的实证分析。学术研究,2006,(6)：59-64
[16]陈东平,卜宁。 我国开放式基金选股与择时能力的实证分析。 郑州航空工业管理学院学报,2006,24(5)：40-44
[17]张瑞。中国开放式证券投资基金选股与择时能力的实证研究：[长沙理工大学硕士学位论文]。 湖南：长沙理工大学,2007,F830
[18]唐海峰。中国证券投资基金的发展、问题及对策建议。湖北经济学院学报,2008,5-1
[19]尹中立。我国证券投资基金的发展历程回顾。银行家,2008,(10)
[20]曾玲玲。我国证券投资基金发展状况研究：[武汉理工大学硕士学位论文]。湖北：武汉理工大学,2002, (5)
[21]牛淑珍。证券投资理论的发展历程及展望。石家庄经济学院学报,2001,24-01
[22]Admati A, Ross S A, (1985) "Measuring Investment Performance in a Rational Expectations Equilibrium Model, " Journal Of Business, Vol.58, P.1-26
[23]Cumby R E, Glem J D, (1990)"Evaluating the Performance of International Mutual Funds, "Journal of Finance, Vol.45, P.497-521
[24]刘芳。我国投资基金业绩评价及基金经理能力的实证研究：[电子科技大学硕士学位论文]。四川：电子科技大学,2003(6)
[25]吴启芳,陈收,杨宽,雷辉。单因素指标评估投资业绩：证券投资基金实证分析。数量经济技术经济研究,2003.1
[26]梅国平。 上市公司及证券投资基金绩效评价——方法与实证：[复旦大学博士学位论文]。 上海：复旦大学经济学院,2003,61
[27]Sharp, W.F.:"Capital Asset Prices:A Theory of Market Equilibrium under Condition of Risk", Journal of finance, september 1964
[28]Ross. S:"Return, Risk and Arbitrage." In I. Friend and J.Bicksler(eds), Risk and Return in Finance,Ballinger,Cambridge,1976.
[29]Treynor, J.:"How to Rate Management of Investment Funds", Harvard Business Review 44,(Jan.-Feb.)1965.
[30]Sharp, W. F. Mutual Fund Performance. Journal of Business,1966, (39):119-138
[31]Michael C. Jensen. The Performance of Mutual Funds in the Period 1954-1964,Journal of Finance,1968, (5):389-416
[32]郑慧清,王尤。 我国证券投资基金择时选股能力的实证分析。 经济问题,2002,(5)：35
[33]彭晗。中国证券投资基金选股能力和择时能力的实证研究。贵州财经学院学报,2002,(4)
[34]李丽仙。我国开放式证券投资基金选股与择时能力的实证研究：[对外经济贸易大学硕士论文]。 北京：对外经济贸易大学经济学院,2005：8
[35]肖奎喜,杨义群。 我国开放式基金的证券选择和市场时机把握能力研究。 中央财经大学学报,2005,(1)：33
[36]郭存芝,杜延军,李春吉。计量经济学-理论、方法、EViews应用。 北京科学出版社,2008
4 Jensen M.C. The Performance of Mutual Funds in the Period 1945-1964. Journal of Finance,1968,23: 97-110
5 Treynor, J. and K. Mazuy:"Can Mutual funds Outguess the Market?" Harvard Business Review 44,1966.
6 Henriksson,R.D.,and Merton R.C.:"ON Market Timing and Investment Performance", Journal of Business 54,1981
[2]Treynor J I, Mazuy. Can Mutual Funds Outguess the Market? HarvardBusiness Review,1966,44:131-136
[3]Henriksson R D, Merton. On Market Timing and Investment Performance:Statistical Procedure for Evaluating, Forecasts Skills. Journal Of Business,1981,54:217-235
[4]Henriksson R D. Market Timing and Mutual Fund Performance:An Empirical Investigation. Journal Of Business,1984,57,73-96
[5]O. P. Gupta and Amitabh Gupta, An Empirical Testing of Market Timing Abilities of Indian Mutual Fund Managers.8th Annual Conference of APFA, Bangkok,2001,51:511-523
[6]Robin Greenwood and Stefan Nagel, Inexperienced Investors and Bubbles.
[7]Wermers R. Mutual fund performance:an empirical decomposition into stock picking talent, style, transactions costs and expenses. Journal of Finance,2000,(55):1655-1703
[8]王庆石,肖俊喜。风险调整的投资组合绩效测度指标综合评价。世界经济,2001,(10)：63-70
[9]沈维涛,黄兴孪。我国证券投资基金业绩的实证研究与分析。经济研究,2001,(9)：22-30
[10]刘红忠等。 证券投资基金效绩评估与风险度量的实证分析。 上海证券交易所研究报告,2001,上证联合研究计划2001卷：75-80
[11]姚兴涛,迟海燕,张乃禄。 证券投资基金时机选择能力的实证研究证券市场导报,2001,(12)：35-38
[12]张新,杜书明。 中国证券投资基金能否战胜市场。金融研究,2002,(1)： 1-22
[13]陈彦玲,胡丽霞。我国开放式基金绩效评价的实证研究。经济与管理研究2003,(2)：61-63
[14]周泽炯,史本山。我国开放式基金选股能力和择时能力的实证研究。财贸研究,2004,(6)：92-97
[15]杜金岷,廖仁英。我国开放式基金业绩评价的实证分析。学术研究,2006,(6)：59-64
[16]陈东平,卜宁。 我国开放式基金选股与择时能力的实证分析。 郑州航空工业管理学院学报,2006,24(5)：40-44
[17]张瑞。中国开放式证券投资基金选股与择时能力的实证研究：[长沙理工大学硕士学位论文]。 湖南：长沙理工大学,2007,F830
[18]唐海峰。中国证券投资基金的发展、问题及对策建议。湖北经济学院学报,2008,5-1
[19]尹中立。我国证券投资基金的发展历程回顾。银行家,2008,(10)
[20]曾玲玲。我国证券投资基金发展状况研究：[武汉理工大学硕士学位论文]。湖北：武汉理工大学,2002, (5)
[21]牛淑珍。证券投资理论的发展历程及展望。石家庄经济学院学报,2001,24-01
[22]Admati A, Ross S A, (1985) "Measuring Investment Performance in a Rational Expectations Equilibrium Model, " Journal Of Business, Vol.58, P.1-26
[23]Cumby R E, Glem J D, (1990)"Evaluating the Performance of International Mutual Funds, "Journal of Finance, Vol.45, P.497-521
[24]刘芳。我国投资基金业绩评价及基金经理能力的实证研究：[电子科技大学硕士学位论文]。四川：电子科技大学,2003(6)
[25]吴启芳,陈收,杨宽,雷辉。单因素指标评估投资业绩：证券投资基金实证分析。数量经济技术经济研究,2003.1
[26]梅国平。 上市公司及证券投资基金绩效评价——方法与实证：[复旦大学博士学位论文]。 上海：复旦大学经济学院,2003,61
[27]Sharp, W.F.:"Capital Asset Prices:A Theory of Market Equilibrium under Condition of Risk", Journal of finance, september 1964
[28]Ross. S:"Return, Risk and Arbitrage." In I. Friend and J.Bicksler(eds), Risk and Return in Finance,Ballinger,Cambridge,1976.
[29]Treynor, J.:"How to Rate Management of Investment Funds", Harvard Business Review 44,(Jan.-Feb.)1965.
[30]Sharp, W. F. Mutual Fund Performance. Journal of Business,1966, (39):119-138
[31]Michael C. Jensen. The Performance of Mutual Funds in the Period 1954-1964,Journal of Finance,1968, (5):389-416
[32]郑慧清,王尤。 我国证券投资基金择时选股能力的实证分析。 经济问题,2002,(5)：35
[33]彭晗。中国证券投资基金选股能力和择时能力的实证研究。贵州财经学院学报,2002,(4)
[34]李丽仙。我国开放式证券投资基金选股与择时能力的实证研究：[对外经济贸易大学硕士论文]。 北京：对外经济贸易大学经济学院,2005：8
[35]肖奎喜,杨义群。 我国开放式基金的证券选择和市场时机把握能力研究。 中央财经大学学报,2005,(1)：33
[36]郭存芝,杜延军,李春吉。计量经济学-理论、方法、EViews应用。 北京科学出版社,2008
4 Jensen M.C. The Performance of Mutual Funds in the Period 1945-1964. Journal of Finance,1968,23: 97-110
5 Treynor, J. and K. Mazuy:"Can Mutual funds Outguess the Market?" Harvard Business Review 44,1966.
6 Henriksson,R.D.,and Merton R.C.:"ON Market Timing and Investment Performance", Journal of Business 54,1981