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Which is the best: A comparison of asset pricing factor models in Chinese mutual fund industry

Year
2019
Secondary
https://storage.googleapis.com/public-quant/integrate/papers/Which%20is%20the%20best_%20A%20comparison%20of%20asset%20pricing%20factor%20models%20in%20Chinese%20mutual%20fund%20industry.pdf
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https://mega.co.nz/#!GHhi0ayS!_Ay_rw5ZHMc69SMuLZnTL20YVvO4R7EUYMps1rT8uqo
Abstract
1. Yeguang Chi 1. is a lecturer at the University of Auckland Graduate School of Management in Auckland, New Zealand. (y.chi{at}auckland.ac.nz) 2. Yu Liu 1. is a PhD student at Dongbei University of Finance and Economics, School of Accounting in Dalian, China. (ariel2008liuyu{at}hotmail.com) 3. Xiao Qiao 1. is an assistant professor at City University of Hong Kong and a member of the Hong Kong Institute for Data Science in Hong Kong, China. (xiaoqiao{at}cityu.edu.hk) Actively managed stock mutual funds in the Chinese A-share market offer good investment opportunities. In aggregate, they outperform stock market indexes. Individual funds show a wide cross-sectional dispersion in performance, with the best funds offering economically large risk-adjusted returns that persist over time. Performance persistence observed at the individual fund level is robust to various factor-model specifications. A portfolio of the top-performing funds offers an improved investment opportunity compared to a portfolio of all funds. Hedging out market risk in this portfolio increases the Sharpe ratio, lowers volatility, and reduces tail risk. These results suggest that, in the young and still-developing Chinese A-share market, mutual funds can add value for investors.
Author
Yezhou Sha and Ran Gao
View
https://sci-hub.st/10.1016/j.econmod.2019.09.016
Journal
https://www.sciencedirect.com/science/article/pii/S026499931930999X
Published
2022/06/23
Retrieved
6/23/2022, 7:00:56 AM
DOI
10.1016/j.econmod.2019.09.016
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