券商集合理财证券选择和市场时机把握能力研究

华中科技大学硕士学位论文券商集合理财证券选择和市场时机把握能力研究姓名：陈文秀申请学位级别：硕士专业：企业管理指导教师：王诗才20080427IIIAbstractSincethesunlightprivateestablishmenthasdevelopedquickly,Stockdealersintegratefinancewasborninthisbackground.Itisthesameasthesecuritiesinvestment,whichisonetypeofassetsmanagement,andsupplementarywitheachothertosatisfydifferentneedofinvestors.Theseyearstheanalysiswascentraltothequalitystudy,whiletherewasnoempiricalstudy.Basedonthecharacteristicsandthepresentsituationanalysis,thisthesisanalizesthepresentsituationofstockdealersintegratefinancebasedonthecharacteristic,andcomparesstockdealersintegratefinancewiththeopen-endfundandprivatetrust.Thenthisthesiselaboratestherelationofsecuritiesselectionandmaketselectionabilitywithperformanceandtheirtheorysignificance.Thisthesisstudiesitssecuritiesselectionabilityandmarkettimingabilitybytheempiricalanalysis.Atlast,thethesiselaboratethepresentproblemofstockdealersintegrateandgivesuggestion.Thefulltextdividesintofourpartstoelaboratetheabovemainpoint.Throughtheseanalysis,theresultsfindthatmoststockdealersintegratefinancehassignificantsecritiesselectionablitiy,butnosignificantmarkettimingablility,andalsofindtheproducttype,thecycleofproductopentoinvestors,themarkettimeaswellasthestockdealers’ownfundwillinfluencesecuritiesselectionabilityandmarketablitiy.Keywords:Stockdealersintegratefinance;Securitiesselection;Markettimingability200855200855200855√111.120051.21.2.1Jenson1968196960JensonJenson194519641152Jenson[1]TreynorMazuy196657[2]VietCheney198273%[3]Henriksson&Merton1981T-M1968-198011659113Henriksson&Merton[4]Henriksson1984HM1968198011662%[5]ChangLewellen19841970197967[6]ChuaJHRichardSWEricCY19871950198370-80%3[7]Cumby&Glem19901519821198861987[8]CogginFabozziRahman19937119831199020.05;0.05[9]Malkiel199519711991239[10]FersonSchad1996TreynorMazuy1966Merton1981[11]1.2.22001T-MH-M19995142001323[12]200120001230331999912001331[13]2001T-MH-M20011120014102133[14]2002221999123120011231[15]2002T-M2001200116[16]2003102002527200212627T-Mt[17]20042003162003132004528T-MH-M[18]20054220035,2004[19]2006(JensenTreynorSharpe)T-MH-M2002123115[20]2006T-MH-MFama-French20031226200662312120[21]1.2.320062056[22]20066[23]2007[24]2008[25]1.31.3.1T-MH-MC-L10T-MH-MC-L1071.3.2Spss13.01.41)2)822.151020%[26]2.22008325329009322391)27111151321310211133822422-12/7/5/10/FOF8/2)10-5020-35100102-2FOF2005141039100.7320061331412174.892007003328227.713)3210262723523114)10001055)32,17,310,,,113222,6)22102-3200547.60%42.14%46.99%200654.51%42.88%53.54%200796.35%93.68%95.35%2-420050.901%0.178%46.99%20060.900%0.174%53.54%20071.210%0.210%95.35%320052007122.32.3.12-5,,131)32,17,310,,,3222,2)20.580.12%10.5%23),,21[27]141)5102010002002)3)[28][29]2.3.2151)20052).[30]3)4)16[31]2-6320055101002.42.4.11)172)3)(1)(2)(3)184)[32]2.4.2[33]2.4.319Fundperformanceevaluation[34]Weak-formefficientmarketSemistrong-formefficientmarketStrong-formefficientmarket201)[35]2)[36]3)21[37]2233.1;FOFFOF?200720071023:20066200663.2,,1966,,CAPM,,Fama(1972)24;;[38],1)T-MTreynor&Mazuy19662)H-MHenriksson&Merton19813)C-LChang&Lewellen19843.2.1T-M19662,,)(tftmrr−T-Mtptftmtftmtftprrrrrr,2,,2,,1,,)()(εββα+−+−+=−3.12125tfr,tpr,tmr,tp,ε22,,)(tftmrr−0)(,,−tftmrr)(,,tftprr−)(,,tftmrr−0)(,,≤−tftmrr)(,,tftprr−)(,,tftmrr−[39]3.2.2H-M1981T-MHenriksson&Merton1981H-MtpttftmtftmtftpDrrrrrr,,,2,,1,,)()(εββα+−+−+=−3.221tfr,tpr,tmr,tp,εDt0)(,,−tftmrrDt=1Dt=021βββ+=1ββ=226[40]3.2.3C-L1984H-MC-LC-LtptftmtftmtftpDrrDrrrr,2,,21,,1,,)()(εββα+−+−+=−3.3120)(,,−tftmrrD1=1D2=00)(,,≤−tftmrrD1=0D2=121ββ−021−ββ[41]2744.14.1.12007624310−−++=tptptptptpDNAVDNAVLnr4.1tpNAV,1,−tpNAVptt-1tpD,1,−tpDtt-14.1.3tmr,3004.1.420075303.06%,7203.33%8223.69153.87%12214.14%5%0.0080%,0.0087%,0.0093%,0.0100%,0.0107%294.2T-MH-MC-L4.2.14-2-0.028540.0255070.0008110.008813-0.054390.0652730.0005910.0200613-0.024960.0397920.0009410.0112034-0.049890.0532480.0005680.0149942-0.037330.035110.0009380.0115383-0.059110.066090.0012810.0204822-0.042240.0374120.0011220.0113923-0.039310.0464480.0010510.015799-0.020870.0291780.0007510.0071921-0.034310.0336390.0005330.012095100.0005330.0012810.0071920.0120954.2.2T-M4-32tP0.537*1.6890.09330.4670.9150.36130.4380.9340.3520.3570.8870.37630.2570.4830.6290.1470.5380.59110.1460.5260.5992-0.261-0.7800.4364-0.964*-1.6890.0932-1.440**-2.4800.014*10%**5%***1%304.3,1077010t32410%t410t25t24-4tP20.002***2.9720.00340.001*1.6910.09230.001*1.7670.07920.001***2.7310.00730.0011.2090.2280.001**2.1070.03630.0011.1390.25613.62E-041.1810.2393.43E-040.9720.3322.92E-040.6530.515(4.4)1010t15t21t4-5SpearmansrhoPearson-0.382-0.676Sig.(2-tailed)0.2760.032**(4.5)PearsonSpearmansrho314.2.3H-M4-62tP0.101***2.7670.00630.0651.0990.27330.0591.0740.2840.0581.2330.2190.0441.3810.16930.0400.6460.51910.0100.2990.7652-0.002-0.0440.9654-0.050-0.7560.4502-0.098-1.4420.1514.6,107701t324-7tP20.002**2.3400.02040.0011.1680.24420.001**1.8320.06830.0011.1000.27333.67E-040.5070.61313.62E-040.9220.3583.25