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本文首先改进Kuosmanen and Kortelainen(2012)的随机前沿半参数模型,并运用改进模型,采用2005年1月1日至2011年6月30日我国30只样本基金的数据,实证评价基金投资效率。与以往的评价模型相比,改进的随机前沿半参数模型不仅结合了DEA和SFA的各自优点,还规避了基于CAPM的基金业绩评价可能造成的模型设定问题。此外,该模型不但能够更为充分和全面地评价基金的投资效率,而且可以根据研究者的自身需要将各种投入产出指标纳入基金投资效率的评价中,从而为研究者在基金评价领域提供了新的研究方法。基金投资效率的评价结果表明:首先,与传统测量指标的结果不同,我们的基金投资效率排名不仅取决于期末基金累计净值的大小或总收益率的高低,还取决于其较低的投入指标;其次,股票型基金和混合型基金的投资效率在不同基金之间差异明显,而债券型基金的投资效率在基金之间的差距较小,反映出债券型基金投资效率的稳健性。
This paper first improves the stochastic frontier semiparametric model of Kuosmanen and Kortelainen (2012), and applies the improved model to the data of 30 sample funds in China from January 1, 2005 to June 30, 2011 to evaluate the fund investment efficiency empirically. Compared with the previous evaluation model, the improved stochastic frontier semiparametric model not only combines the respective advantages of DEA and SFA, but also avoids the problem of model setting that may be caused by the fund performance evaluation based on CAPM. In addition, the model can not only evaluate the fund’s investment efficiency more fully and comprehensively, but also put various IOIs into the evaluation of the fund’s investment efficiency according to the needs of the researcher, so as to provide the researcher with the fund evaluation field A new research method. The evaluation results of fund investment efficiency show that: First of all, unlike the result of traditional measurement index, the ranking of fund investment efficiency depends not only on the size of the net fund or the total return of the fund at the end of the period, but also on its lower input target; Second, the investment efficiency of equity funds and hybrid funds is obviously different among different funds, while the investment efficiency of bond funds has a small gap between the funds, reflecting the robustness of the investment efficiency of bond funds.