Smart Beta, Smart Money

Yeguang Chi    Yeguang Chi, Qinghua Chen
22 Feb 2018
Categories: General Market Analysis, Equity Investments, Behavioral Finance

Country or region: China

Summary:
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 ......


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