Explaining the performance of Chinese equity funds

Xiaohong Huang, Qiqiang Shi

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademic

347 Downloads (Pure)

Abstract

This paper examines the determinants of Chinese equity fund performance measured by market benchmark adjusted returns and risk adjusted return (Jensen’s Alpha). The sample covers 193 equity funds from January 2006 to December 2011, including both bear (2008 and 2011) and bull (2006, 2007, 2009, and 2010) market conditions. We use fund characteristics including size, age, and expense ratio and managerial attributes including manager structure and management education to explain fund performance. We found only expense ratios significantly influence the fund performance under all market conditions. In addition the trading cost is positively associated with fund performance under the bear market. Fund age and management structure show varying impact across bull and bear market conditions. Management education is shown to be powerless in explaining fund performance in China.
Original languageEnglish
Title of host publication21st Pacific-Basin finance, economics, accounting and management conference, July 4-5, 2013, Melbourne, Australia
Place of PublicationMelbourne
Pages-
Publication statusPublished - 4 Jul 2013
Event21st Pacific-Basin Finance, Economics, Accounting and Management Conference, PBFEAM 2013 - Park Hyatt, Melbourne
Duration: 4 Jul 20135 Jul 2013
Conference number: 21

Conference

Conference21st Pacific-Basin Finance, Economics, Accounting and Management Conference, PBFEAM 2013
Abbreviated titlePBFEAM
CityMelbourne
Period4/07/135/07/13

Fingerprint

Equity
Fund performance
Market conditions
Management education
Expenses
Bear market
Risk-adjusted returns
Trading costs
Benchmark
Managers
Age structure
Bull market
China
Management structure

Keywords

  • METIS-298949
  • IR-87866

Cite this

Huang, X., & Shi, Q. (2013). Explaining the performance of Chinese equity funds. In 21st Pacific-Basin finance, economics, accounting and management conference, July 4-5, 2013, Melbourne, Australia (pp. -). Melbourne.
Huang, Xiaohong ; Shi, Qiqiang. / Explaining the performance of Chinese equity funds. 21st Pacific-Basin finance, economics, accounting and management conference, July 4-5, 2013, Melbourne, Australia. Melbourne, 2013. pp. -
@inproceedings{9f33bd3af1184ef98ef1ac64f6f0a79f,
title = "Explaining the performance of Chinese equity funds",
abstract = "This paper examines the determinants of Chinese equity fund performance measured by market benchmark adjusted returns and risk adjusted return (Jensen’s Alpha). The sample covers 193 equity funds from January 2006 to December 2011, including both bear (2008 and 2011) and bull (2006, 2007, 2009, and 2010) market conditions. We use fund characteristics including size, age, and expense ratio and managerial attributes including manager structure and management education to explain fund performance. We found only expense ratios significantly influence the fund performance under all market conditions. In addition the trading cost is positively associated with fund performance under the bear market. Fund age and management structure show varying impact across bull and bear market conditions. Management education is shown to be powerless in explaining fund performance in China.",
keywords = "METIS-298949, IR-87866",
author = "Xiaohong Huang and Qiqiang Shi",
year = "2013",
month = "7",
day = "4",
language = "English",
pages = "--",
booktitle = "21st Pacific-Basin finance, economics, accounting and management conference, July 4-5, 2013, Melbourne, Australia",

}

Huang, X & Shi, Q 2013, Explaining the performance of Chinese equity funds. in 21st Pacific-Basin finance, economics, accounting and management conference, July 4-5, 2013, Melbourne, Australia. Melbourne, pp. -, 21st Pacific-Basin Finance, Economics, Accounting and Management Conference, PBFEAM 2013, Melbourne, 4/07/13.

Explaining the performance of Chinese equity funds. / Huang, Xiaohong; Shi, Qiqiang.

21st Pacific-Basin finance, economics, accounting and management conference, July 4-5, 2013, Melbourne, Australia. Melbourne, 2013. p. -.

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademic

TY - GEN

T1 - Explaining the performance of Chinese equity funds

AU - Huang, Xiaohong

AU - Shi, Qiqiang

PY - 2013/7/4

Y1 - 2013/7/4

N2 - This paper examines the determinants of Chinese equity fund performance measured by market benchmark adjusted returns and risk adjusted return (Jensen’s Alpha). The sample covers 193 equity funds from January 2006 to December 2011, including both bear (2008 and 2011) and bull (2006, 2007, 2009, and 2010) market conditions. We use fund characteristics including size, age, and expense ratio and managerial attributes including manager structure and management education to explain fund performance. We found only expense ratios significantly influence the fund performance under all market conditions. In addition the trading cost is positively associated with fund performance under the bear market. Fund age and management structure show varying impact across bull and bear market conditions. Management education is shown to be powerless in explaining fund performance in China.

AB - This paper examines the determinants of Chinese equity fund performance measured by market benchmark adjusted returns and risk adjusted return (Jensen’s Alpha). The sample covers 193 equity funds from January 2006 to December 2011, including both bear (2008 and 2011) and bull (2006, 2007, 2009, and 2010) market conditions. We use fund characteristics including size, age, and expense ratio and managerial attributes including manager structure and management education to explain fund performance. We found only expense ratios significantly influence the fund performance under all market conditions. In addition the trading cost is positively associated with fund performance under the bear market. Fund age and management structure show varying impact across bull and bear market conditions. Management education is shown to be powerless in explaining fund performance in China.

KW - METIS-298949

KW - IR-87866

M3 - Conference contribution

SP - -

BT - 21st Pacific-Basin finance, economics, accounting and management conference, July 4-5, 2013, Melbourne, Australia

CY - Melbourne

ER -

Huang X, Shi Q. Explaining the performance of Chinese equity funds. In 21st Pacific-Basin finance, economics, accounting and management conference, July 4-5, 2013, Melbourne, Australia. Melbourne. 2013. p. -