我国开放式基金选股与择时能力的实证分析

开放式基金代表未来基金发展的方向，根据我国证券投资基金发展较快，但发展时间较短的实际情况，选择了比较成熟的单因素T-M模型、H-M模型和Fama-French三因素模型，对2003年12月26日至2006年6月23日间121个交易周的20只开放式基金进行业绩评价，考察证券投资基金能否在我国这种弱式有效的市场上表现出良好的选股与择时能力。结果表明，除个别基金外，我国开放式基金整体不具备择时能力；虽表现出一定的选股能力，但并不显著。

An Empirical Study on Evaluating Chinese Open -end Funds

This research is carried out on the basis of the western well developed portfolio theory,Arbitrage Pricing Theory(APT) and the institutional environment in China to study the market timing ability and security selection ability theoretically.According to the research purpose,20 open-end funds are picked out,and relevant data are applied in the well developed TreynorMazuy model(T-M),Henriksson-Merton model(H-M) under single factor and three factors respectively to carry out regression analysis during a period from 26th Dec 2003 to 23th June 2006.Based on the result of empirical analysis,overall the 20 open-end funds have some selectivity ability,but have negative market timing ability.