中国私募基金选股择时能力实证分析-an empirical analysis of chinese private equity funds timing ability.docxVIP

重庆大 重庆大学硕士学位论文 英文摘要 PAGE PAGE III study found that the best performance is the stock picking ability group, followed by the market timing ability group. Private equity funds do not have security selection ability and market timing ability is the worst. In this paper, the empirical study on private placement fund stock selection ability and market timing ability, therefore, put forward some policy suggestions about private equity fund. Private equity fund is a good institutional investors also have good operation system and incentive mechanism. Therefore, the government in the formulation of the new Securities Law should give private equity fund legal identity, which can promote the prosperity of Chinas securities market. Private equity funds with good selectivity and market timing ability, the Commission should give private equity equal market position. The CSRC requires more perfect supervision on private fund, referring to the public offering of the funds regulatory system, so that the private equity fund operations more sunshine, transparent, standardized. The government should increase investment products, optimize the transaction mechanism, so as to realize the long-term stability, prosperity. Keywords: Private Fund, Stock picking ability, Market timing ability, Public information factor 重庆大学 重庆大学硕士学位论文 目 录 PAGE PAGE IV 目 录 中文摘要 I 英文摘要II 1 绪 论 1 1.1 选题背景1 1.2 研究意义2 1.3 研究的内容和方法 3 1.3.1 研究思路 3 1.3.2 研究内容 3 1.3.3 研究方法 4 1.4 可能的创新点与不足之处 4 1.4.1 可能的创新点 4 1.4.2 本文的不足之处 5 2 国内外文献回顾6 2.1 国外文献6 2.2 国内文献8 3 私募基金选股择时能力的理论基础 11 3.1 选股择时能力概念界定 11 3.1.1 选股能力11 3.1.2 择时能力11 3.2 选股择时能力的理论和模型 11 3.2.1 选股择时能力研究的理论基础 11 3.2.2 选股择时能力模型简介 12 4 私募基金选股择时能力实证研究15 4.1 模型的设计及选择 15 TOC \o 1-1 \h \z \u HYPERLINK \l _TOC_250002 T-M 模型 15 HYPERLINK \l _TOC_250001 T-M-FF-3 模型 15 HYPERLINK \l _TOC_250000 4.1.3 控制公共信息变量的修正 T-M-FF3 模型 16 4.2 样本选取 16 4.3 相关变量选取及说明 17 4.3.1 私募基金周收益率计算 17 4.3.2 市场基准收益率选取 17 PAGE PAGE V 4.3.3 SM