The performance and market timing ability of Chinese mutual funds

Authors

  • Wei He Mississippi State University, Mississippi State, Department of Finance and Economics
  • Bolong Cao Ohio University, Ohio University, Department of Economics
  • H. Kent Baker American University, Kogod School of Business, Department of Finance and Real Estate

DOI:

https://doi.org/10.61190/fsr.v24i3.3339

Keywords:

market timing, alpha, Treynor ratio, Sharpe ratio, Chinese mutual funds

Abstract

We examine the performance and market timing ability of actively managed Chinese stock mutual funds and investigate how fund characteristics and fund flows relate to performance and market timing ability. Based on daily return data and several four-factor models, only about 7.5% of these funds have statistically significant risk-adjusted abnormal returns and even fewer demonstrate market timing ability. After controlling for fund size, management fees, average amount, and volatility of fund flows, older funds show higher Sharpe ratios. Our evidence also reveals the volatility of fund flows has an inverted-U shape relationship with fund performance.

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Published

2015-09-30

How to Cite

He, W., Cao, B., & Baker, H. K. (2015). The performance and market timing ability of Chinese mutual funds. Financial Services Review, 24(3), 289–311. https://doi.org/10.61190/fsr.v24i3.3339

Issue

Vol. 24 No. 3 (2015): Fall 2015

Section

New Original Submission

License

Copyright (c) 2015 Academy of Financial Services

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