2019
DOI: 10.1016/j.econmod.2019.09.016
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Which is the best: A comparison of asset pricing factor models in Chinese mutual fund industry

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Cited by 29 publications
(13 citation statements)
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References 33 publications
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“…Disadvantage of many above-mentioned fund studies in CEE is that analysis and comparisons of performance comparison is conducted through Sharpe ratio (Sharpe, 1994), CAPM (Sharpe, 1964), Sortino ratio (Sortino & Van Der Meer, 1991), Jensen's alpha (Jensen, 1968) or Treynor ratio (Treynor, 1965). Recent studies such as those comparing performance of green funds with that of standard funds (Leite & Cortez, 2014;Silva & Cortez, 2016;Marti-Ballester, 2019, or studies focusing on comparative performance of funds in regions other than CEE (Adami et al, 2014;Boubakri et al, 2016;Sha & Gao, 2019) use Fama and French three-factor or five-factor models (Fama & French, 1993, 2015 or Carhart's model (Carhart, 1997). Analysis of funds data from CEE using this methodology would be interesting as well.…”
Section: Literature Reviewmentioning
confidence: 99%
“…Disadvantage of many above-mentioned fund studies in CEE is that analysis and comparisons of performance comparison is conducted through Sharpe ratio (Sharpe, 1994), CAPM (Sharpe, 1964), Sortino ratio (Sortino & Van Der Meer, 1991), Jensen's alpha (Jensen, 1968) or Treynor ratio (Treynor, 1965). Recent studies such as those comparing performance of green funds with that of standard funds (Leite & Cortez, 2014;Silva & Cortez, 2016;Marti-Ballester, 2019, or studies focusing on comparative performance of funds in regions other than CEE (Adami et al, 2014;Boubakri et al, 2016;Sha & Gao, 2019) use Fama and French three-factor or five-factor models (Fama & French, 1993, 2015 or Carhart's model (Carhart, 1997). Analysis of funds data from CEE using this methodology would be interesting as well.…”
Section: Literature Reviewmentioning
confidence: 99%
“…Second, we can predict Chinese mutual funds’ returns from a new perspective. At present, the Fama–French three-factor model and momentum factor have better predictability for Chinese stock markets, but their impact on the return of Chinese mutual funds remains debatable (Huang, 2019; Kothari & Warner, 2001; Sha & Gao, 2019). Our index not only performs better than the Fama–French three-factor model, but it also captures most of the useful information on macroeconomic fluctuations compared to other indices, such as the Chinese macroeconomic climate index and economic policy uncertainty index.…”
Section: Introductionmentioning
confidence: 99%
“…Asset pricing has been a widely researched topic in the discipline of finance (Lettau & Pelger, 2020). Moreover, it is an important area of observation, both in academia (Hammami & Lindahl, 2013) and practice, as it provides the basic framework in understanding the dynamics of equity return (Sha & Gao, 2019). The field of academics has put a considerable effort into this discipline, so as to better understand implications that exist for asset pricing for equity investment.…”
Section: Introductionmentioning
confidence: 99%