Our study is among the first to examine the net asset value (NAV) inflation practices of fund managers in China, finding that equity funds bolster their portfolios at quarter-end and especially year-end. In support of the NAV inflation hypothesis in China, we further document the following: (1)...

This paper sheds light on the similarities and differences with respect to the presence of anomalies in the China A-share market and other markets. To this end, we examine the existence of 32 anomalies in the China A-share market over the period 2000-2019. We find that value, risk, and trading...

We show that Chinese actively managed stock mutual funds persistently exhibit a preference for growth stocks over value stocks, despite the fact that value stocks outperform growth stocks on average. Moreover, funds with a growth tilt do not under-perform their value-oriented peer funds. To...

Research into asset pricing anomalies in the China A-share market is hampered given the short time series of available returns. Even when average excess returns on candidate factor portfolios are economically sizeable, conventional portfolio sorting methods lack statistical power. We apply an...

This paper investigates arbitrage activities in China’s stock market to examine whether arbitrageurs destabilize stock prices. We focus on reversal anomaly and construct a measure of arbitrage intensity, coreversal, which captures the abnormal return correlation among stocks on which a...

We study how professional fund managers' growth expectations affect the actions they take with respect to equity investment and in turn the effects on prices. Using novel data on China's mutual fund managers' growth expectations, we show that pessimistic managers decrease equity allocations and...

This study examines the stock-picking ability of mutual funds in China using evidence from the IPO market. We hypothesize that the decision to invest in the IPO market contains positive information about a fund’s underlying expectation of newly listed firms’ future prospects. Using residuals...

This paper investigates how information asymmetry and mutual fund ownership affect listed companies' earnings management. We show that (1) reducing information asymmetry improves firms’ earnings management behavior; (2) relative to short-term mutual funds, long-term mutual funds promote...

China’s pension system is facing a large gap of more than one trillion RMB. The investment efficiency of the social security fund therefore receives widespread attention in academic circles. We collected data of stocks held by the Chinese National Council for Social Security Fund (CNCSSF) from...

We provide a first look at the performance of Chinese open-end mutual funds from 2001 to 2008 using data from a high quality mutual fund database provided by the GTA Information Technology Co., Ltd. From daily return data, we find that some Chinese open-end mutual funds can provide statistically...