On stock selectivity of Chinese close-end funds

Shan, Y; Xu, J

On stock selectivity of Chinese close-end funds

Shan, Y

Xu, J

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Publisher:: General Adminstration of Press and Publication of the People's Republic of China
Publication Type:: Journal Article
Citation:: Systems Engineering, 2004, 22 (5), pp. 66 - 69
Issue Date:: 2004-01

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Field	Value	Language
dc.contributor.author	Shan, Y https://orcid.org/0000-0003-2156-8722	en_US
dc.contributor.author	Xu, J	en_US
dc.date.issued	2004-01	en_US
dc.identifier.citation	Systems Engineering, 2004, 22 (5), pp. 66 - 69	en_US
dc.identifier.issn	1001-4098	en_US
dc.identifier.uri	http://hdl.handle.net/10453/23293
dc.description.abstract	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.	en_US
dc.language	Chinese, nec	en_US
dc.publisher	General Adminstration of Press and Publication of the People's Republic of China	en_US
dc.relation.ispartof	Systems Engineering	en_US
dc.subject.classification	Operations Research	en_US
dc.title	On stock selectivity of Chinese close-end funds	en_US
dc.type	Journal Article
utslib.citation.volume	5	en_US
utslib.citation.volume	22	en_US
utslib.for	150201 Finance	en_US
utslib.for	0806 Information Systems	en_US
utslib.for	0999 Other Engineering	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Accounting Discipline
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	5	en_US
pubs.volume	22	en_US

Abstract:

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.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/23293