I examine the ability of stock selection and time selection in the Chinese A-share Stock Market.I find that significant timing skill of the Chinese stock mutual funds on the HML factor,but not the SMB factor in the ti...I examine the ability of stock selection and time selection in the Chinese A-share Stock Market.I find that significant timing skill of the Chinese stock mutual funds on the HML factor,but not the SMB factor in the time period between 2003 and 2020.I construct the Fama-French model,4-factor model,Treynor-Mazuy model,and Henricksson-Merton model in the whole sample period between 2003 and 2020,as well as three sub-sample periods to examine the significance of different factors and how they perform in each sub-sample period.I also generate the cumulative return and average of the MOM factor.I find that the MOM factor’s average returns are more positive in the latest sub-sample period,from 2017 to 2020.展开更多
文摘I examine the ability of stock selection and time selection in the Chinese A-share Stock Market.I find that significant timing skill of the Chinese stock mutual funds on the HML factor,but not the SMB factor in the time period between 2003 and 2020.I construct the Fama-French model,4-factor model,Treynor-Mazuy model,and Henricksson-Merton model in the whole sample period between 2003 and 2020,as well as three sub-sample periods to examine the significance of different factors and how they perform in each sub-sample period.I also generate the cumulative return and average of the MOM factor.I find that the MOM factor’s average returns are more positive in the latest sub-sample period,from 2017 to 2020.
