摘要
利用SBM方向距离函数和Luenberger生产率指标,以中国460支基金为样本,测度证券投资基金在负收益约束下的效率和全要素生产率增长情况。研究表明:90%以上的基金均存在不同程度的管理无效率,这主要源于风险控制能力较低和负月收益率占比过高;由于技术退步等原因,大部分基金的全要素生产率均有下滑;封闭式基金的管理效率显著高于开放式基金,其全要素生产率变动情况也相对乐观。建议完善对基金发行及运营的监管机制,规范资本市场,促进基金信息的公开化。
By using SBM directional distance function and Luenberger productivity, taking 460 Chinese funds as samples, this paper measures China＇ s security investment fund＇ s efficiency and TFP under the constraint of negative returns. The result shows that 90% funds hold non-efficiency with different degrees because of lower ability of risk man- agement and relatively high negative monthly returns. Technology setback is the main rea- son that makes the TFP going down. Close-end fund＇s efficiency and TFP are better than Open-end funds. This paper finally puts forward some suggestions, such as improving reg- ulatory mechanism of the distribution and operation fund, regulating the capital market, and promoting the disclosure of fund information.
出处
《金融经济学研究》
CSSCI
北大核心
2014年第1期120-128,共9页
Financial Economics Research
基金
教育部人文社会科学基金项目(09YJA630077)
天津市科技战略项目(11zlzlzf03800)
