The Market-Timing Ability of Chinese Equity Securities Investment Funds PDF Download
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Author: Jun Gao
Publisher:
ISBN:
Category :
Languages : en
Pages : 22
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Book Description
This study examines the market-timing performance of Chinese equity securities investment funds during the period from May 2003 to May 2014 using the parametric tests of Treynor-Mazuy and Henriksson-Merton as well as the Jiang (2003) non-parametric test. Based on the non-parametric approach, the study finds that only one fund among the sample of 419 funds possessed statistically significant market-timing skill, while 9% of the funds were statistically significant negative market timers. Most funds do not time the market. This conclusion is robust when controlling for publicly available information in evaluating 'private' timing ability. Consistent with studies of other markets such as the UK, a higher prevalence of successful market timers is found by the Treynor-Mazuy and Henriksson-Merton methods compared to the non-parametric procedure.
Author: Jun Gao
Publisher:
ISBN:
Category :
Languages : en
Pages : 22
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Book Description
This study examines the market-timing performance of Chinese equity securities investment funds during the period from May 2003 to May 2014 using the parametric tests of Treynor-Mazuy and Henriksson-Merton as well as the Jiang (2003) non-parametric test. Based on the non-parametric approach, the study finds that only one fund among the sample of 419 funds possessed statistically significant market-timing skill, while 9% of the funds were statistically significant negative market timers. Most funds do not time the market. This conclusion is robust when controlling for publicly available information in evaluating 'private' timing ability. Consistent with studies of other markets such as the UK, a higher prevalence of successful market timers is found by the Treynor-Mazuy and Henriksson-Merton methods compared to the non-parametric procedure.
Author: Jun Gao
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Purpose: The purpose of this paper is to evaluate the performance of Chinese equity securities investment funds and to distinguish skill from luck in fund performance.Design/methodology/approach: This paper examines numerous risk-adjusted performance models in three classes: (i) unconditional models, (ii) conditional beta models and (iii) conditional alpha-beta models and select a single 'best-fit' model from each of the classes. This study uses a bootstrap methodology to distinguish skill from luck in fund performance. The bootstrap analysis is applied to the 'best-fit' models. Findings: The evidence fails to find in support of genuine stock selection ability among funds with positive performance. At the negative end of the performance distribution, the bootstrap findings indicate that poor performance is mainly attributable to poor stock selection abilities.Research limitations/implications: This paper attempts to investigate the role of skill versus luck in fund performance based on the 'best-fit' models over 2003-2020 covering periods of changing market conditions and major market/industry events in China. Practical implications: This paper finds that the performance of top ranked funds with positive abnormal performance is attributable to 'good luck' not 'good skill' while the negative abnormal performance of bottom funds is mainly due to 'bad skill'. Therefore, sensible advice for most Chinese equity investors would be against trying to 'pick winners funds' among Chinese actively managed funds but it would be recommended to avoid holding 'losers'. At the present time investors should consider other types of funds such as index/tracker funds with lower transactions. Originality/value: This paper makes several contributions to the literature. First, it examines over 50 risk-adjusted performance models. It also controls for the profitability and investment risk factors in Fama and French (2015), which are not considered in past papers on the Chinese market. Second, the bootstrap analysis in this paper, applied to the best-fit models, is more precise and robust compared to inferences based on conventional t-statistics. Third, this study controls for possible survivorship bias. Fourth, this study considers further analysis based on sub-periods and compares fund performance in different market conditions. Fifth, the findings in this paper are robust in relation to different minimum fund histories, serial correlation and heteroscedasticity adjustments. Sixth, this paper employs higher frequency weekly data to improve statistical estimation and inferences.
Author: Xiaoqing Cao
Publisher:
ISBN:
Category :
Languages : en
Pages : 91
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Book Description
This paper gives an overview of the new Chinese securities investment funds and evaluates their performance using various performance indicators. We subsequently rank the performance of these funds by assigning different weights to each indicator. Using a dataset of weekly returns from 20 funds from October 1998 to November 2000, our empirical study suggests that the overall performance of Chinese investment funds is inconsistent with the Efficient Markets Hypothesis (EHM). Funds, in general, out-perform the market and exhibit good market timing ability. The degree of diversification is rather low and the performance of most funds is persistent within the observation periods.
Author: Huayou Zhu
Publisher: Beijing : Foreign Languages Press
ISBN:
Category : Capitalism
Languages : en
Pages : 224
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Book Description
Author: jshop.javvin.com
Publisher: Javvin Technologies Inc.
ISBN: 1602670064
Category : Business
Languages : en
Pages : 560
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Book Description
This handbook is designed to help investors and financial professionals understand how China's stock market operates, and to harness their power to win more. It includes fundamental information of both the mainland China and Hong Kong markets.
Author: Winston Ma
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 264
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Book Description
A groundbreaking title that explores the new and developing opportunities for foreign investors in China's transforming stock and capital markets, at this critical point in their history. \r\nFrom the foreword:"Winston Ma's remarkably informed study of China's recent stock market developments and the emerging opportunities they are providing to investors is a most welcome contribution to modern financial literature."Richard Sylla, Stern School of Business, New York University
Author: Roy Henriksson
Publisher:
ISBN: 9781021216878
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
Author: Yuliang Zhao
Publisher:
ISBN:
Category :
Languages : en
Pages : 94
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Book Description
Author: Ali M. Kutan
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
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Book Description
We compare different fund performance measures to examine which performance measures can generate risk-adjusted returns between high ranked and low ranked China's actively managed open-end equity mutual funds. Our results show that only the 6-factor (Fama and French (2015) five factors plus a momentum factor) alpha as the performance measure meets the criteria. Separated by the 6-factor alpha, better performed funds tend to have larger asset under management and higher percentage of hybrid funds. Through our sample period from July 2004 to December 2015, the highest ranked quintile funds generate monthly 0.24% risk-adjusted return more than the lowest ranked quintile funds. Furthermore, our results from fund return, holding return, and trading data all demonstrate the better performance comes mostly from the bear markets, suggesting those better performed funds exhibit their market timing and stock picking abilities when investors need them most.
Author: Xiaping Wu
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 78
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Book Description
