| 基金经理预测能力检验 |
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| 引用本文： | 郭建军.基金经理预测能力检验[J].中国管理科学,2004,12(2):83-87. |
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| 作者姓名： | 郭建军 |
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| 作者单位： | 西南财经大学统计学院 四川 成都 610074 |
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| 摘 要： | 基金管理者自称能够战胜市场获取超额收益,国内已有的文献也证明了这一点。本文根据詹森的基金业绩评价思想,利用周和月两种频率数据,采用更长的样本期间,对我国54只封闭式基金进行研究,结论表明基金管理者的投资结果比随机选择持有策略还差,它们并不具有对个股和市场的预测能力。
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| 关 键 词： | 基金管理 基金业绩 个股预测 市场预测 |
| 文章编号： | 1003-207(2004)02-0083-05 |
| 收稿时间： | 2003-03-26; |
| 修稿时间： | 2003年3月26日 |
Testing Fund Manager's Forecasting Ability |
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| GUO Jian-jun.Testing Fund Manager''''s Forecasting Ability[J].Chinese Journal of Management Science,2004,12(2):83-87. |
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| Authors: | GUO Jian-jun |
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| Institution: | School of Statistics, Southwestern University of Finance & Economics, Sichuan 610074, China |
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| Abstract: | Fund managers say they can outperform market and get more excess return. This point has empirically been supported by the existing literatures in China. Using measure of Jensen,this paper studied 54 close-end funds by using weekly data and monthly data with longer sample period,the conclusion suggests fund managers do worse than a random selection policy,and they have no ability to forecast the future about individual stock or market. |
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| Keywords: | fund management fund performance ability of forecasting individual security ability of forecasting market |
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