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POSTS BY YEGUANG CHI
  • Beauties of the Emperor: Investigation of an Opaque Stock Market Bailout   

    Yeguang Chi    Xiaoming Li
    26 May 2017
    257
    6

    During the 2015 stock market crash, the Chinese government conducted an opaque bailout by injecting over ¥1.25 trillion ($200 billion) into the stock market. Sixty-three out of 1,406 government-purchased companies actively announced their bailout status in August 2015. The other government-purchased companies passively disclosed their bailout status through earnings reports in October 2015. We find a significantly positive market response to the first wave of active announcements of government bailout. Following the second wave of passive disclosure, the positive response deteriorated and eventually disappeared. Finally, retail investors reacted slowly and eventually overreacted to the bailout news, whereas institutional investors reacted promptly to profit from the opportunity. 

  • Smart Beta, Smart Money

    Yeguang Chi    Qinghua Chen
    24 May 2017
    1775
    40

    Factor-timing strategies in the U.S. produce weak returns and are strongly correlated to the basic factor-holding strategies. We present contrasting evidence from China, where mutual funds successfully time the size factor despite a negative unconditional loading. Funds with bigger return gaps exhibit more size-factor-timing skill and outperform. Additionally, size-factor timing serves as an important channel of performance persistence, especially among high-alpha funds. Finally, we estimate fund position in different size portfolios and show that it significantly forecasts size-factor returns. 

  • AFM - Private Information in the Chinese Stock Market: Evidence from Mutual Funds and Corporate Insiders

    16 Nov 2016
    645
    29

    Private Information in the Chinese Stock Market: Evidence from Mutual Funds and Corporate Insiders
  • AFBC – Private Information in the Chinese Stock Market: Evidence from Mutual Funds and Corporate Insiders

    19 Sep 2016
    828
    58

    Title: Private Information in the Chinese Stock Market: Evidence from Mutual Funds and Corporate Insiders