China-Focused Mutual Funds
AbstractThis study examines the performance of China-focused mutual funds using monthly returns for the five years from 2004 through 2008. A two-beta model is used to examine the performance of the fund managers in two aspects: (1) ability to select high-performance stocks, and (2) ability to load up on high-beta stocks in an up market and to switch to low-beta stocks in a down market. Eight of the ten mutual funds examined have a positive and statistically significant Jensen's alpha, a measure of superior return performance. The up-market betas are generally small and statistically insignificant, while the down-market betas are large and statistically significant. These results imply that mutual fund managers do not utilize good market timing.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by M.E. Sharpe, Inc. in its journal Chinese Economy.
Volume (Year): 43 (2010)
Issue (Month): 5 (January)
Contact details of provider:
Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=110901
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Nguyen).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.