中文摘要：

通过构建CDM-TM-FF3和CDM-HM-FF3模型来研究我国基金的择时选股能力,在建立多个基金投资市场模型的基础上,通过引入信息变量以及基金经理的市场预期来反映基金经理对基金系统风险的调整.研究结果表明,由于采用双择时能力指标的设定,CDM-TM-FF3和CDM-HM-FF3模型可以更明确地比较基金在各个投资市场上的择时能力表现.此外,通过基金市场择时能力的比较发现,3种基金类型均表现出了一定的市场择时能力.部分股票型基金表现出在债券市场上的择时能力,部分债券型基金则表现出在股票市场上的择时能力,部分混合型基金则在两个市场上均表现出择时能力,其原因是在资产投资比例要求的限制使基金无法在主投资市场灵活调整资产投资组合,但是却能够在投资不受限制的市场上及时变动投资组合.

英文摘要：

We develop a CDM-TM-FF3 and a CDM-HM-FF3 model to investigate the mutual funds＇ timing a- bility by dividing the mutual funds into three segments and incorporating the information variables to reflect the changes of Beta. The results demonstrate that the proposed timing ability models are suitable to reveal the fund＇ s timing ability in various segments of funds. In the stock market and bond market, many mutual funds show significant timing ability. The stock oriented mutual funds have a better timing ability in the bond market while the bond oriented mutual funds have a better timing ability in the stock market. The hybrid mutual funds show a strong timing ability in both the stock market and bond market since their portfolios are less restricted.