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We use Hong Kong stock market data from 1982-2001 to test the persistence of the size and value premia and the robustness of the Fama-French (FF) three-factor model in explaining the variation in stock returns. We document a statistically significant and persistent size effect or size premium...
Persistent link: https://www.econbiz.de/10013132723
This study evaluates equity mutual fund performance in the Chinese mutual funds industry by employing Goetzmann and Ibbotson's (1994) method. The data set consists of all open-end equity mutual funds in China and is free of survivorship bias. The research period covers January 2002 to December...
Persistent link: https://www.econbiz.de/10013086571
This study applied the Fama-French three-factor model (1993) and CAPM to examine A-shares in Chinese equity market from 1996 to 2005. The authors find a positive relation between book-to-market ratio and stock excess returns, and negative between size and stock excess returns. The results...
Persistent link: https://www.econbiz.de/10012963663
We use Hong Kong stock market data for 1982-2001 to test the persistence of the size and value premia and therobustness of the Fama-French (FF) three-factor model in explaining the variation in stock returns. We document a statistically significant and persistent size effect or size premium that...
Persistent link: https://www.econbiz.de/10013078416
Asynchronous trading hours between the markets of Exchange-Traded Funds (ETFs) and their benchmarks not only make it difficult to apply a full replication strategy but also make the creation/redemption process ineffective and consequently distress the performance of international ETFs. Despite...
Persistent link: https://www.econbiz.de/10012322206
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This paper investigates the nature of volatility spillovers between stock returns and hedge funds returns in twelve Asia Pacific countries in the 1997-2018 period. The sample period encompasses sub periods, 1997 Asia financial crisis, 2008 Global financial crisis and 2010 Eurozone crisis; these...
Persistent link: https://www.econbiz.de/10013399819