Pacific-Basin Finance Journal Volume 44, September 2017, Pages 80–96

共同基金经理的择时能力

作者：Li Liao (Tsinghua University, China), Xueyong Zhang (Central University of Finance and Economics, China), Yeqing Zhang (Tsinghua University, China)

摘要：这篇文章检查了中国共同基金经理人对市场、市场波动性和市场流动性的择时能力。用中国共同基金的样本，我们使用了横截面和bootstrap 分析方法，发现在2001到2011年期间，中国共同基金经理人显示出对市场回报率、波动性和市场流动性的择时能力。我们也发现在样本外检验中高的择时者比低的择时者平均每年高出6%-7%，显示出择时能力的实际意义。接下来我们做了稳健性分析，发现结果是相同的。

Mutual fund managers' timing abilities

Li Liao (Tsinghua University, China), Xueyong Zhang (Central University of Finance and Economics, China), Yeqing Zhang (Tsinghua University, China)

ABSTRACT

This paper examines Chinese mutual fund managers' abilities to time market, market volatility, and market-wide liquidity. Using a sample of Chinese mutual funds, we employ both cross-sectional and bootstrap analyses and find strong evidence that, during 2001–2011, Chinese mutual fund managers demonstrated the ability to time market returns, volatility, and market liquidity. We also find top timers outperform bottom timers by 6–7% annually in out-of-sample tests, manifesting the practical meaning of timing ability. We then conduct robustness checks of our findings and the results are the same.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X17300252

翻译：阙江静