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Performance Persistence of Pension Fund Managers: Hong Kong Mandatory Provident Funds
Patrick Kuok-Kun Chu
2007
Source PublicationAsia-Pacific Financial Markets: Integration, Innovation and Challenges
Author of SourceSuk-Joong Kim
PublisherEmerald Group Publishing Limited
Pages393-424
Abstract

This chapter examines the performance persistence evidences of pension fund managers who managed the constituent equity funds included in Hong Kong Mandatory Provident Fund (MPF) schemes over the period 2001–2004. Nonparametric two-way contingency table and parametric OLS regression analysis are employed to evaluate performance persistence. The evidence suggests that the raw returns, traditional Jensen alphas, and conditional Jensen alphas in the previous year possess predictive abilities. When the funds are classified into high-volatile and low-volatile samples, the high-volatile funds are found to possess stronger performance persistence. Neither hot-hand nor cold-hand phenomena are found in the equity funds managed by same investment manager.

DOIhttps://doi.org/10.1016/S1569-3767(07)00019-2
Language英语
ISBN978-0-7623-1471-3
Fulltext Access
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Document TypeBook chapter
CollectionFaculty of Business Administration
DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
AffiliationUniversity of Macau
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Patrick Kuok-Kun Chu. Performance Persistence of Pension Fund Managers: Hong Kong Mandatory Provident Funds:Emerald Group Publishing Limited,2007:393-424.
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