China-Focused Mutual Funds
This study examines the performance of China-focused mutual funds using monthly returns for the five years from 2004 through 2008. A two-beta model is used to examine the performance of the fund managers in two aspects: (1) ability to select high-performance stocks, and (2) ability to load up on high-beta stocks in an up market and to switch to low-beta stocks in a down market. Eight of the ten mutual funds examined have a positive and statistically significant Jensen's alpha, a measure of superior return performance. The up-market betas are generally small and statistically insignificant, while the down-market betas are large and statistically significant. These results imply that mutual fund managers do not utilize good market timing.
Year of publication: |
2010
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Authors: | Chang, Chih-Hsiang ; Fung, Hung-Gay ; Lai, Pikki |
Published in: |
Chinese Economy. - M.E. Sharpe, Inc., ISSN 1097-1475. - Vol. 43.2010, 5, p. 5-14
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Publisher: |
M.E. Sharpe, Inc. |
Saved in:
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