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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。
In assessing fund management capabilities, the traditional factor model does not differentiate between sampling contingencies from performance, and thus can not directly assess managers’ non-incidental management capabilities. This paper takes 397 partial stock open-end funds in China as the research object. Combining with the Carhart four-factor model and the self-help method, making statistical inference based on the international frontier research methods to construct the simulated distribution based on zero-risk adjusted income space. This paper studies the non-contingency management abilities of Chinese fund managers from the perspective of market as a whole. The empirical results show that the top 40% of risk-adjusted return top managers have significant non-contingent management abilities at 99.5% confidence level.