An Empirical Study of the Performance Persistence of China's Equity Open-end Funds
Mutual funds performance persistence is an abnormality of Efficient Market Hypothesis (EMH). It means better performer funds in period one will continue to perform better in successive periods, while worse performer funds in period one will keep losing value in successive periods (Hendricks, Patel a...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2007
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| Online Access: | https://eprints.nottingham.ac.uk/21043/ |
| _version_ | 1848792174368391168 |
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| author | Li, Jin |
| author_facet | Li, Jin |
| author_sort | Li, Jin |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | Mutual funds performance persistence is an abnormality of Efficient Market Hypothesis (EMH). It means better performer funds in period one will continue to perform better in successive periods, while worse performer funds in period one will keep losing value in successive periods (Hendricks, Patel and Zeckhauser, 1997).
The purpose of this study is to examine the persistency in China's equity open-end funds performance. This study tests 24 equity open-end funds for the period of April, 2003 through June, 2007. It divided the sample periods into performance periods and holding periods based on the short-term (three-month), medium-term (six-month) and long-term (twelve-month), which create nine combinations: 3-3 , 3-6, 3-12, 6-3, 6-6, 6-12, 12-3, 12-6 and 12-12. Jensen's alpha is employed as the risk-adjusted measure. Cross-sectional regression analysis and a one-sample t test are performed to examine the performance persistency of China's equity open-end funds against the absolute benchmark over the holding period of three-month, six-month and twelve-month based on the past three-month, six-month and twelve-month, respectively.
The results indicate that, consistent with some of the literature, performance persistency is detected, and stronger persistency appears when the performance period increases to twelve-month. |
| first_indexed | 2025-11-14T18:40:13Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-21043 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:40:13Z |
| publishDate | 2007 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-210432018-03-17T18:03:50Z https://eprints.nottingham.ac.uk/21043/ An Empirical Study of the Performance Persistence of China's Equity Open-end Funds Li, Jin Mutual funds performance persistence is an abnormality of Efficient Market Hypothesis (EMH). It means better performer funds in period one will continue to perform better in successive periods, while worse performer funds in period one will keep losing value in successive periods (Hendricks, Patel and Zeckhauser, 1997). The purpose of this study is to examine the persistency in China's equity open-end funds performance. This study tests 24 equity open-end funds for the period of April, 2003 through June, 2007. It divided the sample periods into performance periods and holding periods based on the short-term (three-month), medium-term (six-month) and long-term (twelve-month), which create nine combinations: 3-3 , 3-6, 3-12, 6-3, 6-6, 6-12, 12-3, 12-6 and 12-12. Jensen's alpha is employed as the risk-adjusted measure. Cross-sectional regression analysis and a one-sample t test are performed to examine the performance persistency of China's equity open-end funds against the absolute benchmark over the holding period of three-month, six-month and twelve-month based on the past three-month, six-month and twelve-month, respectively. The results indicate that, consistent with some of the literature, performance persistency is detected, and stronger persistency appears when the performance period increases to twelve-month. 2007 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/21043/1/07MAlixjl30.pdf Li, Jin (2007) An Empirical Study of the Performance Persistence of China's Equity Open-end Funds. [Dissertation (University of Nottingham only)] (Unpublished) Open-end funds performance persistence |
| spellingShingle | Open-end funds performance persistence Li, Jin An Empirical Study of the Performance Persistence of China's Equity Open-end Funds |
| title | An Empirical Study of the Performance Persistence of China's Equity Open-end Funds |
| title_full | An Empirical Study of the Performance Persistence of China's Equity Open-end Funds |
| title_fullStr | An Empirical Study of the Performance Persistence of China's Equity Open-end Funds |
| title_full_unstemmed | An Empirical Study of the Performance Persistence of China's Equity Open-end Funds |
| title_short | An Empirical Study of the Performance Persistence of China's Equity Open-end Funds |
| title_sort | empirical study of the performance persistence of china's equity open-end funds |
| topic | Open-end funds performance persistence |
| url | https://eprints.nottingham.ac.uk/21043/ |