UM  > 工商管理學院
A Study on Stock-selection and Market-timing Performance: Evidence from Hong Kong Mandatory Provident Fund
Patrick Kuok-Kun Chu
2008
Source PublicationReview of Pacific Basin Financial Markets and Policies
ISSN0219-0915
Volume11Issue:4Pages:617-650
Abstract

This paper presents the first comprehensive study of the performance and market timing ability of the equity funds that comprise the Hong Kong Mandatory Provident Funds (MPF) scheme. In general, our results suggest that US equity funds consistently underperform relative to the market, while the other fund groups consistently outperform the market. The stock-selection ability of MPF constituent equity funds in times of changing economic condition is also investigated. The evidence is consistent with previous studies, which suggest that the conditional models decrease the individual fund traditional alpha measure. The market timing models of Treynor-Mazuy and Henriksson-Merton provide evidence of superior market timing ability.

KeywordPension Funds Conditional Models Market-timing Ability Stock-selection Performance Evaluation
DOI10.2139/ssrn.1000821
Language英语
Fulltext Access
Citation statistics
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
AffiliationUniversity of Macau - Faculty of Business Administration
First Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Patrick Kuok-Kun Chu. A Study on Stock-selection and Market-timing Performance: Evidence from Hong Kong Mandatory Provident Fund[J]. Review of Pacific Basin Financial Markets and Policies,2008,11(4):617-650.
APA Patrick Kuok-Kun Chu.(2008).A Study on Stock-selection and Market-timing Performance: Evidence from Hong Kong Mandatory Provident Fund.Review of Pacific Basin Financial Markets and Policies,11(4),617-650.
MLA Patrick Kuok-Kun Chu."A Study on Stock-selection and Market-timing Performance: Evidence from Hong Kong Mandatory Provident Fund".Review of Pacific Basin Financial Markets and Policies 11.4(2008):617-650.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Patrick Kuok-Kun Chu]'s Articles
Baidu academic
Similar articles in Baidu academic
[Patrick Kuok-Kun Chu]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Patrick Kuok-Kun Chu]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.