绿色基金绩效影响因素研究

Research on the Factors Influencing the Performance of Green Funds

摘要: 绿色基金对推进经济结构转型，助力绿色经济发展有着重要的作用。本文基于2018年1月至2023年12月的10只股票型、偏股混合型绿色基金作为研究对象，使用Fama-French三因子模型和T-M模型，对绿色基金绩效的影响因素进行实证分析。实证结果表明：三因子模型可以较好解释基金绩效影响因素，绿色基金与市场因子、账面市值比因子以及规模因子均具有显著的关系，更偏向于价值股和小盘股。基金经理一般都具有选股能力，而在择时能力表现上呈现出一定的差异性，大部分具有择时能力。基于研究结论，对投资者和基金经理提出建议。

Abstract: Green funds play an important role in promoting economic structural transformation and supporting the development of green economy. This article is based on 10 equity and equity mixed green funds from January 2018 to December 2023 as research objects, and uses the Fama-French three-factor model and T-M model to empirically analyze the factors affecting the performance of green funds. The empirical results show that the three-factor model can better explain the factors affecting fund performance. Green funds have significant relationships with market factors, book to market ratio factors, and size factors, and are more inclined towards value stocks and small cap stocks. Fund managers generally have stock selection ability, but their performance in timing ability shows certain differences, with most having timing ability. Based on the research findings, it provides recommendations for investors and fund managers.