Pacific-Basin Finance Journal, Volume 47, February 2018, Pages 1–19
中国共同基金是否有择时能力？
作者：Li Yi (Hunan Normal University, China) , Zilan Liu (Hunan Normal University, China), Lei He (Hunan Normal University, China) , Zilong Qin (Guosen Securities Co. Ltd Postdoctoral Programme, China) , Shunli Gan (Hunan Normal University, China)
摘要
本文从市场回报率、波动性和流动性三个维度探讨了中国共同基金经理的择时能力。用2005年7月至2016年6月的股票基金样本，我们发现了共同基金对市场波动性和流动性有择时能力的有力证据。我们的研究结果表明，只有成长型的基金才有捕获市场回报率的择时能力。我们还发现，在不同投资目标的基金中，平衡型基金具有最显著的波动性择时能力，然而成长型基金具有最显著的流动性择时能力。我们的研究结果对其他解释也是稳健的，包括风格择时能力、非流动性资产和市场反应。Bootstrap分析表明，本文的证据不能归因于运气。对于市场择时的所有三种形式，一个成功的择时往往有更高的周转率。最后，我们发现，中国股票共同基金在样本外测试中能够表现出市场波动性和流动性择时能力的持续性。没有证据发现市场回报率择时能力的持续性。
Do Chinese mutual funds time the market?
Li Yi (Hunan Normal University, China) , Zilan Liu (Hunan Normal University, China), Lei He (Hunan Normal University, China) , Zilong Qin (Guosen Securities Co. Ltd Postdoctoral Programme, China) , Shunli Gan (Hunan Normal University, China)
ABSTRACT
This paper explores market timing abilities of Chinese mutual fund managers from the three dimensions: market return, volatility, and liquidity. Using a sample of equity funds from July 2005 to June 2016, we find strong evidence that mutual funds can time the market volatility and liquidity. Our results show that only growth-oriental funds have the ability to time the market returns. We also find that among funds with different investment objectives, balance funds have the most significant volatility timing while growth funds have the most significant liquidity timing ability. Our findings are robust to alternative explanations, including style timing, illiquid holdings, and market reaction. Bootstrap analysis indicates that the evidence cannot be attributable to luck. For all three forms of market timing, a successful timer tends to have higher turnover rate. Finally, we find that Chinese equity mutual funds are able to demonstrate market volatility and liquidity timing persistence in the out-of-sample test. No evidence is found for the presence of return timing persistence.
原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X16302748
翻译：阙江静
