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China-Focused Mutual Funds

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  • Chih-Hsiang Chang
  • Hung-Gay Fung
  • Pikki Lai
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    Abstract

    This 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.

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    File URL: http://mesharpe.metapress.com/link.asp?target=contribution&id=Q3736P23016U534R
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    Bibliographic Info

    Article provided by M.E. Sharpe, Inc. in its journal Chinese Economy.

    Volume (Year): 43 (2010)
    Issue (Month): 5 (January)
    Pages: 5-14

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    Handle: RePEc:mes:chinec:v:43:y:2010:i:5:p:5-14

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    Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=110901

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