Economics, Econometrics and Finance
8 years ago

Chinese mutual funds show dissipating performance, market efficiency questioned.

Journal of Beijing Institute of Machinery
On persistence of mutual fund performance in China:implication for mutual fund market efficiency
Liu Xiang

Paper Summary

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The study looked at mutual fund performance in China from 2002 to 2007. They found that the success of mutual funds in China doesn't last long. The extra money made by some funds is because they take on more risk and react slowly to new information. This suggests that the mutual fund market in China isn't very efficient, and a four-factor model is better for evaluating mutual fund performance.