我國開放式股票型基金的擇時能力研究.pdf

1、南京財經(jīng)大學碩士學位論文我國開放式股票型基金的擇時能力研究姓名：張強申請學位級別：碩士專業(yè)：金融學指導教師：王玉寶2009-01-10IIABSTRACT The timing ability of funds is whether the manger could forecast the future market and raises the risk of the portfolio in

2、 the bull and reduces it when bear to profit excess by the conversion between the assets of higher risks and the lower one. This paper selects 44 open- ended funds issued before the reform of the

3、 shareholder structure of listed companies and does empirical analysis on the ability of selection and timing. This paper analyze the problem through the T - M model H - M model and conditional

4、 information model. The traditional T- M model and H- M model get the minus timing ability so the author complements the RGDP， the risk- free rate and the virtual variation of the reform of t

5、he shareholder structure to do the empirical analysis again by conditional information model. In the test on the overall timing ability， the empirical results of the T- M model display the majo

6、rity of the open- ended stock- funds in China have no timing ability. but some funds get minus timing ability， which has no degree of economic viability and illustrates the test of T- M is i

7、naccuracy， so this paper considers that the measure to timing ability by T- M model is not precise enough. The H- M model shows the similar empirical results that most of the open- ended stock

8、- funds are unavailable in the timing ability， and the minus ones occurs all the same with the same drawback of T- M model. In the empirical test of conditional information model which kick-

9、off the impact area of open market available information， the timing ability of most funds are unavailable，which is the same to the conclusion of T- M model and H- M model. But in the empiric

10、al test of conditional information model， there is no minus timing ability which overcome the drawback in T - M model and H - M model. C onditional information model also prove the positive rela

11、tionship with fund manger’ s risk aversion coefficient and risk assets weight in standard investment portfolio. It makes model’ s economic viability clear， which is the large order for traditiona

12、l model. The creative point of this paper is considering of that the factor which the market depth information vary for the fund mangers， the i nducting of the market public information and t

13、he using of the information conditional model，which eliminates the defect that the traditional models may get the minus timing ability and certifies that the information conditional models are o