作 者: ;
机构地区: 中山大学岭南学院
出 处: 《中国管理科学》 2016年第S1期383-388,共6页
摘 要: 在评价基金管理能力时,传统因子模型并未从业绩中将抽样偶然性区分开来,因而无法对管理者的非偶然性管理能力作出直接评价。本文以中国397只偏股型开放式基金为研究对象,结合Carhart四因子模型与自助法,借助国际前沿研究方法构建基于零风险调整收益空间模拟分布做出统计推断。本文研究从市场整体角度评价了中国基金管理者的非偶然性管理能力,实证结果发现在99.5%置信度下风险调整收益排名前40%的基金管理者具备显著的非偶然性管理能力。 When factor model is applied to evaluate skills of fund managers,it fails to identify those skills apart from the influence of sampling variation. This articles aims to analyze the managerial skills in the fund market free from the influence of sampling variation based on 397 open-ended funds which focus mainly on stocks. To achieve the goal,a simulation distribution under the null hypothesis of zero risk-adjusted return is constructed through a combination of the Carhart 4-factor model and bootstrapping. Empirical study shows that managers of funds ranked in the top 40% possess skills that sampling variation alone can't fully explain.
领 域: [经济管理—金融学]