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POSTS BY YEGUANG CHI
  • Smart Beta, Smart Money

    Yeguang Chi    Qinghua Chen
    22 Feb 2018
    2401
    46

    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 actively managed stock mutual funds successfully time the size factor (small minus big) despite a negative unconditional loading. We show that the timing skill arises from funds’ intra-period trading. Relatedly, funds with bigger return gaps exhibit more timing skill. Furthermore, size-factor timing is an important aspect of manager skill, as it attributes to over 50% of fund alpha. Finally, we show that timing skill matters to funds’ performance persistence, especially among high-alpha funds. 

  • Beauties of the Emperor: Investigation of an Opaque Stock Market Bailout   

    Yeguang Chi    Xiaoming Li
    26 May 2017
    521
    7

    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. 

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

    19 Sep 2016
    1207
    63

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