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False discoveries in style timing of Chinese mutual funds

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  • Yi, Li
  • He, Lei

Abstract

This paper examines the daily style timing of actively managed Chinese stock mutual funds from July 2002 through December 2013 by adopting the false discovery rate (FDR). We find evidence in favor of mutual funds being able to time the market. Our results indicate that mutual fund managers do not possess size, value or momentum-based timing skills. Concerning the relation between fund characteristics and style timing, we find that expense and turnover are positively associated with market timing and value timing but negatively associated with momentum timing, which is likely to be attributable to different investment objectives. In addition, we examine market timing skill persistence by controlling the FDR and find that Chinese stock mutual funds are able to exhibit market timing persistence.

Suggested Citation

  • Yi, Li & He, Lei, 2016. "False discoveries in style timing of Chinese mutual funds," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 194-208.
  • Handle: RePEc:eee:pacfin:v:38:y:2016:i:c:p:194-208
    DOI: 10.1016/j.pacfin.2016.04.005
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    References listed on IDEAS

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    1. repec:eee:pacfin:v:47:y:2018:i:c:p:1-19 is not listed on IDEAS
    2. repec:eee:pacfin:v:44:y:2017:i:c:p:80-96 is not listed on IDEAS

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