Do fund managers in the Chinese mutual fund market deliver positive risk-adjusted returns? Yes, but it is mainly observed for local fund managers

Autor:	Julius Nickelsen, Olaf Stotz
Jazyk:	angličtina
Rok vydání:	2023
Předmět:	skill versus luck active management bootstrap methodology injected alpha chinese mutual fund market investment styles information asymmetries Applied mathematics. Quantitative methods T57-57.97 Finance HG1-9999
Zdroj:	Quantitative Finance and Economics, Vol 7, Iss 4, Pp 595-621 (2023)
Druh dokumentu:	article
ISSN:	2573-0134
DOI:	10.3934/QFE.2023029?viewType=HTML
Popis:	A bootstrap and a subsequent injected alpha analysis were conducted on 1,221 Chinese mutual funds that were active at some point between July 2001 and July 2021. The results show that most active managers achieve a positive risk-adjusted return. Additionally, we find that this phenomenon is primarily attributable to local (i.e., Chinese) fund managers. We argue that one explanation for the different levels of risk-adjusted returns observed is the information asymmetry between foreign and local fund managers. Additional results support this view, as fund managers primarily investing in small- to mid-cap and value stocks provide a superior performance, which inherently exhibit greater information asymmetry. The findings are contrary to those from similar studies in developed markets, where only a few active managers demonstrate actual skill in their performance.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/053e8f9fed954252a237989b0a36d4e8 Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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