【作者】 傅安里；

【导师】 马超群；

【作者基本信息】 湖南大学 ， 技术经济及管理， 2005， 硕士

【摘要】 投资基金的择时能力是基金绩效评价的核心内容。已有的收益择时能力研究没有发现基金具有显著的择时能力。本文通过引入收益择时因子改进了Busse的波动择时模型，并以此为工具从波动时变性的角度对我国证券投资基金的择时能力进行了实证研究。实证结果表明中国证券投资基金具有较为显著的波动择时能力。相对于模拟的消极投资，基金在市场风险加剧的时候减少了手中资产的市场敞口；并且开放式基金的这种波动择时行为比封闭式基金更为显著，而不同风格基金的波动择时行为差距并不明显。将收益择时能力的影响引入到波动择时模型中后，研究还发现，考虑了收益择时因子影响的波动择时模型比没有考虑的模型更能反映基金的波动择时行为。本文进一步用相关分析、自助法和条件业绩评价方法对基金的波动择时能力和业绩的关联性进行了检验。发现基金的波动择时能力同基金的业绩高度相关，然而这种波动择时行为并没有引起基金绩效的提升。对此，本文也作了进一步分析和解释。 在实证方法上，本文通过构造与基金投资风格相似的模拟组合和原有基金进行对比来研究基金的波动择时能力，也就是基于基金投资组合的研究方法，这是目前我国的基金研究中没有涉及的领域。本文的研究不仅是一种理论上的探讨，更重要的是，它为中国证券市场上的基金运作、研究和评价引入了一种新的视角。这对目前我国波动剧烈、发展尚未成熟的市场来说，尤其显得重要，文中的实证研究结果也证明了这一点。更多还原

【Abstract】 Timing ability is an important index to evaluate an investment fund’s performance. Previous market returns timing studies do not find significant evidence that funds time the market. In this paper, we introduce a return timing factor into Busse’s volatility timing model, and employ the model to investigate whether China’s investment funds should time the market. Our empirical results show that China’s investment funds have significant volatility timing abilities. Comparing to passive strategy, funds reduce their market exposure during the periods of high conditional volatility. Morever, the ability of open-end funds is superior to the one of closed-end funds; while among different investment style, the volatility timing ability of funds does not take any difference. Our analysis also finds that the modified models, which take return timing factor into account, are excess to original Busse’s models. In order to reflect the relation between funds volatility timing and funds performance, we introduce correlation analysis, bootstrap method and conditional performance evaluation to conduct an empirical analysis. The results indicate that the funds performance is relative to funds volatility timing, while this timing ability does not improve the funds performance. And we also give some suggestions and reasons for this phenomenon.As to empirical methods, this paper compares changes between the funds volatility timing behavior and the behavior of a randomly formed control sample which holds similar types of stocks as funds. This method is called portfolio-based analysis, which is not implied in former Chinese funds analysis. Our studies are not merely a theoretical discussion. Whatsmore, they give some new perspective on funds operation, analysis and evaluation in China’s security markets. And the empirical analysis also shows that this analysis is quite fit for the intensely variable, primary market of our country.更多还原