我国投资连结保险选股择时能力的对比研究——基于T-M模型.pdfVIP

回酬 Cαpitalll1surallce 保险市场 我国投资连结保险选股择时能力的对比研究 一一基于T-M 模型 李艳荣 1 ，周蔚龄 2 ( 1.2 浙江工商大学金融学院，浙ìI杭州 310018) 摘要:近年来我国投连险产品的数量迅速增长，作为一种高风险高收益的保险产品，投保人参加此保险更多地走出于投资目的， 因此科学地评价它们的投资绩效就变得越来越重要。以 20 个投连险账户为研究对象，借助资产组合绩效坪价的 T-M 模型，分别从 账户投资风格、牛熊市和不同寿险公司的角度对比研究了我国投连险的选股择时能力。实证结采表明，总体而言我国投连险的具有 显著的选股能力，但是不具有择时能力。就投资风格上来看，激进型账户的选股能力表现最好，债券型账户的择时能力好于其他;从 牛熊市的比较而言，我国投连险具有显著的选股能力，牛市表现要优于熊市;综合考虑选股能力和择时能力两个方面，平安人寿和太 平人寿的投资表现好于其他寿险公司。 关键词:投资连结保险;选股择时能力;投资绩效坪价;对比研究 中图分类号:F842.4文献标识码:A 文章编号:1005-0167(2012)101-0067-06 Abstract:ln recent years ,China s investment-linked insurance products are increasing rapidly , as a high-risk and high-yield insurance produc臼 policy-holders participate in it is for investment purposes ,so the scientific evaluation of their investment performance becomes more lmpo此ant.In this paper ,we use the T - M model to evaluate twenty Investment-Linked Insurance accounts portfolio performance ,and compare their stock and timing -picking ability in three point of view respectively.The empirical results shows that ,overall , China s investment -linked insurance has significant stock -picking ability,but do not have timing -picking ab出ty.On the investment style perspective ,the radical accounts have the best stock -picking ability ,the bond accoun包， timing-picking ability is better than others .In the period comparison , China s investment-linked insurance has a significant stock-picking ab过1町，the performance of the bull market is better than the bear market.Take the two aspects into consideration ,Pingan Life and Taiping Life s investment performance were better than other life insurance companies. Key words: inves