In doing so, we contribute to the factor-timing literature and take a step towards resolving the controversy surrounding this topic. In this paper, we investigate factor timing in the Chinese stock market, where we find strong evidence of predictability for the size factor. Established in 1990,...
Based on 10 commonly used factors, we construct a novel factor momentum strategy in the Chinese stock market, which earns an annualized return of 9.91 %, with a Sharpe ratio of 1.15. Factor momentum subsumes stock momentum, high-priced momentum, and industry momentum, digests its component fac...
Based on 10 commonly used factors, we construct a novel factor momentum strategy in the Chinese stock market, which earns an annualized return of 9.91%, with a Sharpe ratio of 1.15. Factor momentum subsumes stock momentum, high-priced momentum, and industry momentum, digests its component facto...
Institutional investors in China hold more big stocks but still outperform the market. We address this puzzle by studying the size-factor-timing skill of institutional investors. First, we find that Chinese actively managed stock mutual funds possess significant size-factor-timing skill that helps ...
While traditional long-short momentum strategies usually yield suboptimal results, the long leg proves effective on its own, and the correlation filter demonstrates significant value for improving the timing and performance of the short leg. We propose a final strategy of going long on 4 top-...
This is consistent with the timing of two major events in US financial history. At other stages, it is difficult to find the presence of anomalies though intuitive observation. This shows on a cursory level that stock market visions do exist in the US market and have a more significant ...
This paper has introduced the principal of IFA technology detailedly, and regarded style indices of Chinese international trust investment company as the research object. The research result indicates that the style characteristic is disinct in Chinese stock market, which, as well as the factor of ...
% of Market Value FundBenchmark Negative weightings may result from specific circumstances (including timing differences between trade and settle dates of securities purchased by the funds) and/or the use of certain financial instruments, including derivatives, which may be used to gain or reduce m...
Kruskal–Wallis found a statistically significant difference in FRE and TFPC among seven regions. Keywords: climate change; forestry efficiency; total factor productivity change; Chinese provinces; DEA 1. Introduction The significance of forest resources is of utmost importance in terms of both economic...
First, it is necessary to improve digital finance according to the timing and local conditions of different smart cities. For those cities in which digital finance has not reached the inflection point, interconnection and information sharing should be strengthened to reduce the information asymmetry of...