UM  > 工商管理學院
PERFORMANCE PERSISTENCE OF PENSION FUND MANAGERS: EVIDENCE FROM HONG KONG MANDATORY PROVIDENT FUNDS
Patrick Kuok-Kun Chu
2007
Source PublicationAsia-Pacific Financial Markets: Integration, Innovation and Challenges: Volume 8
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
WOS IDWOS:000270830200019
WOS KeywordSurvivorship Bias ; Mutual Funds
WOS SubjectBusiness ; Business, Finance ; Economics
WOS Research AreaBusiness & Economics
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Citation statistics
Cited Times [WOS]:2   [WOS Record]     [Related Records in WOS]
Document TypeBook chapter
CollectionFaculty of Business Administration
DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
AffiliationUniversity of Macau, Macao SAR, China
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Patrick Kuok-Kun Chu. PERFORMANCE PERSISTENCE OF PENSION FUND MANAGERS: EVIDENCE FROM HONG KONG MANDATORY PROVIDENT FUNDS:Emerald Group Publishing Limited,2007:393-424.
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