李心愉,钱嫣虹.我国企业年金投资绩效持续性及规模效应分析[J].审计与经济研究,2017,(4):
我国企业年金投资绩效持续性及规模效应分析
  
DOI:
中文关键词:  企业年金  投资绩效  产险资金运用效率  养老保险  社会保障  老龄化  养老基金投资效率  投资绩效
英文关键词:enterprise annuity  investment performance  operation efficiency of property insurance  old age pension insurance  social security  aging  investment efficiency of old age pension fund  investment performance
基金项目:国家社会科学基金重大项目(13&ZD042);教育部哲学社会科学研究重大课题攻关项目(14JZD027)
作者单位
李心愉,钱嫣虹 北京大学 经济学院北京 100871 
摘要点击次数: 115
全文下载次数: 130
中文摘要:
      利用2012—2016年第二季度我国企业年金集合计划投资组合(权益类、固定收益类)的数据,采用了多种方法评价其投资绩效,包括基于超额收益和风险调整收益的评价以及基于DEA模型的效率分析,在此基础上,分别从时间维度考察了绩效的持续性,从“空间”维度检验了其规模效应。Spearman秩相关系数、双向表法及计量回归结果显示:固定收益类组合绩效表现出一定程度的持续性(正相关关系)和显著的规模效应,而对于权益类组合,我们很难得出此种结论。最后,在实证研究的基础上,有针对性地提出了政策建议。
英文摘要:
      Based on the data of portfolios(equity,fixed income)of Chinese collective pension plans from 2012 to the second quarter of 2016,we assessed the investment performance of these two types of portfolios from excess return,risk adjusted return and investment efficiency by introducing a DEA model.Then,the persistence of performance and economies of scale were examined from two dimensions of time and“space”separately.The results of Spearman rank correlation,contingency table and regression showed a certain degree of performance persistence(positive correlation)and significant economies of scale for the fixed income portfolios;however,we cannot draw such a conclusion for the equity ones.Lastly,several suggestions were raised to conclude this paper.
查看全文  下载PDF阅读器
关闭