【摘要】 利用SBM方向距离函数和Luenberger生产率指标,以中国460支基金为样本,测度证券投资基金在负收益约束下的效率和全要素生产率增长情况。研究表明:90%以上的基金均存在不同程度的管理无效率,这主要源于风险控制能力较低和负月收益率占比过高;由于技术退步等原因,大部分基金的全要素生产率均有下滑;封闭式基金的管理效率显著高于开放式基金,其全要素生产率变动情况也相对乐观。建议完善对基金发行及运营的监管机制,规范资本市场,促进基金信息的公开化。更多还原

【Abstract】 By using SBM directional distance function and Luenberger productivity, taking 460 Chinese funds as samples,this paper measures China’s security investment fund’s efficiency and TFP under the constraint of negative returns. The result shows that 90% funds hold non-efficiency with different degrees because of lower ability of risk management and relatively high negative monthly returns. Technology setback is the main reason that makes the TFP going down. Close-end fund’s efficiency and TFP are better than Open-end funds. This paper finally puts forward some suggestions,such as improving regulatory mechanism of the distribution and operation fund,regulating the capital market,and promoting the disclosure of fund information.更多还原