DOI：10.13766/j.bhsk.1008−2204.2021.0495绿色基金投资风格漂移与基金业绩评价张强1，董佳1，刘善存2（1.北京化工大学经济管理学院，北京100029；2.北京航空航天大学经济管理学院，北京100083）摘要：基于2015—2019年中国股票型、偏股混合型绿色基金日收益率数据，采用Fama-French五因子模型和调整后的风格择时五因子模型，探究不同检验期内绿色基金的投资风格漂移及基金经理的选股择时能力对基金业绩的影响。实证结果表明：绿色基金存在投资风格漂移现象；风格漂移在短期和中期会给基金业绩带来负面影响；绿色基金整体上并未获得基于绿色理念的超额收益；基金经理的盈利择时能力仅在长期对基金业绩影响最为显著，市值择时能力、账面市值比择时能力、投资择时能力和选股能力对绿色基金业绩的影响甚微。关键词：绿色基金；风格漂移；风格择时；绩效评价；因子模型中图分类号：F830.9文献标志码：A文章编号：1008−2204（2023）03−0157−11InvestmentStyleDriftandPerformanceEvaluationofGreenFundsZHANGQiang1，DONGJia1，LIUShancun2（1.SchoolofEconomicsandManagement,BeijingUniversityofChemicalTechnology,Beijing100029,China；2.SchoolofEconomicsandManagement,BeihangUniversity,Beijing100083,China）Abstract:BasedonthedataofdailyreturnofChina’sequitygreenfundsandequityhybridistgreenfundsfrom2015to2019,thepaperadoptsFama-Frenchfive-factormodelandtheimprovedTM-FF5modeltotesttheeffectsoftheinvestmentstyledriftofgreenfundsandfundmanager’sabilityinstockselectionandstyletimingontheperfor-manceofgreenfundsindifferenttestperiods.Theresultsoftheempiricalstudyshowthatthereisinvestmentstyledriftingreenfunds,whichwillhaveanegativeeffectontheperformanceofgreenfundsintheshortandmediumterms.Greenfundsasawholehaven’tgainedexcessreturnsfromthegreenideas.Inaddition,theprofitstyletimingabilityofgreenfundmanagershasthemostsignificantimpactontheperformanceofgreenfundsonlyinthelongterm,whilethemarketvaluetimingability,booktomarketratiotimingability,investmenttimingability,andstockselectionabilityhavelittleimpactontheperformanceofgreenfunds.Keywords:greenfund；styledrift；styletiming；performanceevaluation；factormodel近年来，随着生态文明建设的持续推进，绿色金...
