Performance persistence in Chinese securities investment funds

dc.check.date2020-07-13
dc.check.infoAccess to this article is restricted until 36 months after publication by request of the publisher.en
dc.contributor.authorGao, Jun
dc.contributor.authorO'Sullivan, Niall
dc.contributor.authorSherman, Meadhbh
dc.date.accessioned2018-02-05T19:24:52Z
dc.date.available2018-02-05T19:24:52Z
dc.date.issued2017-07-13
dc.date.updated2018-01-29T12:42:55Z
dc.description.abstractThis 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 t-statistics of past alphas suggest that the top ranked decile portfolio yields statistically and economically significant forwarding looking alphas. In respect of past decile loser funds, there is no evidence that underperformance among Chinese loser funds persists. In addition, we apply the recursive portfolio formation methodology for alternative ‘smaller’ portfolios of a fixed size and find that almost all the smaller portfolios of past winning funds produce positive and statistically significant forward looking alphas. Hence an active portfolio strategy for the Chinese securities investment fund industry of selecting a small number of past outperforming funds may earn positive abnormal returns after the deduction of management fees.en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationGao, J., O'Sullivan, N. and Sherman, M. (2017) 'Performance persistence in Chinese securities investment funds', Research in International Business and Finance, 42, pp. 1467-1477. doi:10.1016/j.ribaf.2017.07.085en
dc.identifier.doi10.1016/j.ribaf.2017.07.085
dc.identifier.endpage1477en
dc.identifier.issn0275-5319
dc.identifier.journaltitleResearch in International Business and Financeen
dc.identifier.startpage1467en
dc.identifier.urihttps://hdl.handle.net/10468/5372
dc.identifier.volume42en
dc.language.isoenen
dc.publisherElsevier B.V.en
dc.rights© 2017, Elsevier Ltd. All rights reserved. This manuscript version is made available under the CC-BY-NC-ND license.en
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/en
dc.subjectChinese fundsen
dc.subjectFund performanceen
dc.subjectPersistenceen
dc.titlePerformance persistence in Chinese securities investment fundsen
dc.typeArticle (peer-reviewed)en
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