Securities Fund Selection Ability Evaluation Of Timing,

Since 1998,we have witnessed rapid growth of Chinese securities funds. The market capitalization and status of fund industry have been increased ceaselessly,its influence on stock market has been enlarged. The fund's rapid growth enriches the investment tools,boosts the canonical development of stock market,provides more investment chances to investors,and brings intensive competition to fund management corporations. The situation that good and bad are intermingled also brings forward a new theories to direct their decision making process in order to maintain the veracity of investment decisions when facing more investment chances. So,research on the fund industry,especially on fund performance,has attracted the attention of practitioners and theoreticians,so as to provide a foundation for investor's decision making and afford the groundwork for fund corporation's development stratagem and prompting mechanism.In this paper,we measure the performance of Chinese equity funds,using Treynor-Mazuy model,Henriksson-Merton model and Chang-Lewellen model which are based on CAPM and Fama-French three factors model respectively in measuring the manager's market timing ability and security selection ability. The empirical evidence indicates that the managers don't exhibit superior market timing ability but exhibit certain security selection ability. Especially during the adjustment period since July 2001,the performance of Chinese equity funds is bad and the most managers exhibit reverse market timing ability.