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主办:中国优选法统筹法与经济数学研究会
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Chinese Journal of Management Science ›› 2004, Vol. ›› Issue (2): 83-87.

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Testing Fund Manager’s Forecasting Ability

GUO Jian-jun   

  1. School of Statistics, Southwestern University of Finance & Economics, Sichuan 610074, China
  • Received:2003-03-26 Revised:2004-03-03 Online:2004-04-28 Published:2012-03-07

Abstract: Fund managers say they can outperform market and get more excess return. This point has empirically been supported by the existing literatures in China. Using measure of Jensen,this paper studied 54 close-end funds by using weekly data and monthly data with longer sample period,the conclusion suggests fund managers do worse than a random selection policy,and they have no ability to forecast the future about individual stock or market.

Key words: fund management, fund performance, ability of forecasting individual security, ability of forecasting market

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