Purpose: The Chinese fund market has witnessed significant developments in recent years. However, although there has been a range of studies assessing fund performance in developed industries, the rapidly developing fund industry in China has received very little attention. This study aims to...

We investigated the role of domestic and international economic uncertainty in the cross-sectional pricing of UK stocks. We considered a broad range of financial market variables in measuring financial conditions to obtain a better estimate of macroeconomic uncertainty compared to previous...

Our study investigates the explanatory power of future economic conditions on individual stock returns in the US and UK equity markets. We analyse a new trading strategy that is based on rational forecasts of future real activity. In addition, we specifically examine the performance of this...

This study examines the performance persistence of Chinese equity securities investment funds during the period between May 2003 and May 2014. We apply the recursive portfolio formation methodology of Carhart (1997). The results from sorting funds either by past 4-factor alphas or by...

This study examines the market-timing performance of Chinese equity securities investment funds during the period from May 2003 to May 2014 using the parametric tests of Treynor–Mazuy and Henriksson–Merton as well as the Jiang (2003) non-parametric test. Based on the non-parametric approach,...

We theoretically investigate the role of expectations in modelling economic activity and the evolution of inflation rates. The New Keynesian Phillips-IS model is extended in our study by having two types of firms with a fraction of firms that uses ‘limited' information to develop their...

We investigate the role of domestic and international economic uncertainty in the cross-sectional pricing of UK stocks. We consider a broad range of financial market variables in measuring financial conditions in order to obtain a better estimate of macroeconomic uncertainty compared to previous...