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Growth Tilt of Chinese Stock Mutual Funds

Chi, Yeguang - 2018

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...

Persistent link: https://www.econbiz.de/10012915752

Diversification of Risk and Growth

Wilson, Bonnie - 2004

This paper provides evidence that domestic opportunities to share risk have contributed to slower growth. We first … provide a simple model economy that demonstrates how a country's ability to diversify risk is linked to its growth rate. In … domestic opportunities to diversify risk and growth. We employ two econometric procedures: (1) traditional instrumental …

Persistent link: https://www.econbiz.de/10014069642

Financial Conditions and Growth at Risk in the ECCU

Komatsuzaki, Takuji - 2020

We study the growth determinants in the Eastern Caribbean Currency Union (ECCU), using the Growth at Risk (GaR …

Persistent link: https://www.econbiz.de/10012843528

Emerging Stars and Developed Neighbors : The Effects of Development Imbalance and Political Shocks on Mutual Fund Investments in China

Lin, Shu - 2012

This paper examines the influence of regional economic development on mutual funds investment decisions. Using fund holdings from 2003 to 2008, we find that Chinese mutual funds that collectively reside in the developed coastal region have the ability to select 'star' firms from neighboring...

Persistent link: https://www.econbiz.de/10013101391

Estimation of Growth in Fund Models

Kardaras, Constantinos; Keun Koo, Hyeng; Ruf, Johannes - 2022

Fund models are statistical descriptions of markets where all asset returns are spanned by the returns of a lower-dimensional collection of funds, modulo orthogonal noise. Equivalently, they may be characterised as models where the global growth-optimal portfolio only involves investment in the...

Persistent link: https://www.econbiz.de/10013403340

External Growth and the Cross Section of Stock Returns

Li, Hongtao - 2017

Prior research finds expected returns decrease in firm-level total asset growth. This study shows that external growth, measured as asset growth raised from capital markets, has stronger power than total asset growth predicting the cross section of average returns. External growth subsumes the...

Persistent link: https://www.econbiz.de/10012970654

Economic Growth Risk and Stock Market Performance : Cross-Sectional Evidence from 70 Countries

Sum, Vichet - 2015

This study investigates the impact of economic growth risk on stock market performance in 70 countries. Based on the … analysis of the full sample, on average, 1% increase in economic growth risk is associated with 0.23% (p = 0.058) increase in … economic growth risk is associated with 0.647% (p = 0.013) increase in stock market return. On average, 1% increase in economic …

Persistent link: https://www.econbiz.de/10013033635

E-commerce Livestream Flows Growth and Cross-sectional Stock Returns

Chang, Ran - 2021

firms generates a 6.864% risk- adjusted return annually. The return predictability of E-commerce livestream flows growth …

Persistent link: https://www.econbiz.de/10013218354

Do Industry Growth Prospects Drive IPO Stock Performance?

Dong, Ming - 2012

We examine the relation between an ex ante measure of IPO growth prospects – the industry-level long-term analyst earnings growth forecast – and short- and long-run IPO returns, using a sample of 7,570 IPOs from 1982 to 2007. The use of an industry-level, rather than firm-level growth...

Persistent link: https://www.econbiz.de/10013115063

Equity Valuation Cannot Outgrow the Economy Over the Long Run

Han, JC - 2016

Persistent link: https://www.econbiz.de/10012991589