Proceedings of the 1st International Symposium on Innovative Management and Economics (ISIME 2021)

Study on Timing and Selectivity of China’s Hybrid Mutual Funds

An Empirical Study

Authors
Yu Wu, Liangchen Zhang, Bailin Yang
Corresponding Author
Liangchen Zhang
Available Online 4 August 2021.
DOI
10.2991/aebmr.k.210803.029How to use a DOI?
Keywords
Hybrid mutual fund, Stock selection ability, Timing ability
Abstract

With the development of China’s financial market, hybrid mutual funds have been favoured by the market because of their features of diversified investment objects, moderate risk and objective return rate of fund assets. This paper aims to analyze the management ability of China’s hybrid mutual funds, particularly stock selection and timing ability. On this basis, the paper employs Jensen alpha model and Treynor-Mazuy Model (T-M model) to assess fund managers’ stock selection and timing abilities respectively. It empirically implements Jensen’s alpha and T-M model to samples of 415 China’s existing hybrid mutual funds. The empirical results indicate that a) most of the mutual fund managers own strong stock selection abilities during the sample period but weak timing abilities; b) some of them have the abilities to select stocks outperformed the market as well as to time the market; c) the above abilities are positively related to the fund size in China’s hybrid mutual fund market. Hybrid mutual funds in China have become an increasingly popular investment target and this paper helps to assess the performance of this financial instrument quantitatively.

Copyright
© 2021, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

Volume Title
Proceedings of the 1st International Symposium on Innovative Management and Economics (ISIME 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
4 August 2021
ISBN
978-94-6239-411-7
ISSN
2352-5428
DOI
10.2991/aebmr.k.210803.029How to use a DOI?
Copyright
© 2021, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Yu Wu
AU  - Liangchen Zhang
AU  - Bailin Yang
PY  - 2021
DA  - 2021/08/04
TI  - Study on Timing and Selectivity of China’s Hybrid Mutual Funds
BT  - Proceedings of the  1st International Symposium on Innovative Management and Economics (ISIME 2021)
PB  - Atlantis Press
SP  - 210
EP  - 215
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.210803.029
DO  - 10.2991/aebmr.k.210803.029
ID  - Wu2021
ER  -