中文摘要：

我国养老金缺口已超过万亿元，社保基金的投资效率引起了学术界的广泛关注。本文选取2004～2012年全国社保基金持股数据，研究社保基金直接运作投资和委托投资的效率差异。研究结果发现，社保基金组合整体投资效率较低，其中，直接运作投资不能获得超额收益，委托投资每年的超额收益为4．32％。委托投资资产配置的私有信息显著高于直接运作投资，这是造成直接运作投资收益低下的重要原因。本文进一步的研究发现，社保基金具有显著的市场稳定机制，且2008年之前的政策性功能更加明显。本文的研究对于社保基金的投资效率、我国机构投资者的发展具有重要的理论和现实意义。

英文摘要：

China＇s pension system is facing a huge gap in the amount of more than one trillion RMB. The in- vestment efficiency of the social security fund receives therefore widespread concern in academic circles. This paper collected data of stocks which were held by the Chinese National Council for Social Security Fund （ CNC- SSF） from year 2004 to 2012 and then studied on their investment efficiency diversity between direct investment by the CNCSSF and entrusted investment by Funds Companies. The results showed that the entire investment of the Chinese Social Security Fund was less efficient. Direct investment by the CNCSSF could not obtain the ab- normal returns, while entrusted investment received annual abnormal return of 4. 32%. The asset allocation of entrusted investment possessed more private information than the asset allocation of direct investment, which was also the reason of the less efficiency of direct investment by the CNCSSF. The further studies of this paper found that the Chinese social security fund has a significant market stability mechanism. Direct investment had three times market stabilization mechanism effect than the entrusted investment. In general, entrusted investment is bet- ter than direct investment regard to investment efficiency, while direct investment is better than entrusted invest- ment regard to the market stabilization. This paper contributes hence the literature on social security fund invest- ment and provides constructive references to the development of the institutional investors in China.