On stock selectivity of Chinese close-end funds

General Adminstration of Press and Publication of the People's Republic of China
Publication Type:
Journal Article
Systems Engineering, 2004, 22 (5), pp. 66 - 69
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W e examine the performance of Chinese close-end funds during 2000-2002. Using PPW and GT, two benchmark portfolios and three-factor model, we find CAPM lacks efficiency and its more proper t0 use multifactor models. The funds havent exhibited significant selectivity ability in the whole sample period. But they exhibit superior securities selectivity in a bullish which may attribute to the excess return of policy.
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