DocumentCode
1632295
Title
Investment style analysis of open-end funds in China: Return-based quantile regression analysis
Author
Deng, Xiaowei ; Li, Jichun ; Jiang, Yanan
Author_Institution
Department of Application Mathematics, Nanjing University of Technology, Nanjing, China
fYear
2011
Firstpage
1
Lastpage
5
Abstract
In this paper, we use quantile regression estimate and data from 2001 to 2003 to analyze the investment style for different types of open-end funds in China. The main result is that the investment style of growth funds, balance funds and value funds in China share some commonality. They all prefer investing in large-cap, mid-cap growth stocks and small value stocks. Value fund prefers value stocks to growth funds and balance funds, and it invests evenly between growth stocks and value stocks. By analyzing the change in investment style of Hua-xia Large-cap fund using quantile regression, we obtain some very inspiring conclusions.
Keywords
Analytical models; Economics; Estimation; Indexes; Investments; Mathematical model; Portfolios; investment styles; open-end funds; quantile regression;
fLanguage
English
Publisher
ieee
Conference_Titel
E -Business and E -Government (ICEE), 2011 International Conference on
Conference_Location
Shanghai, China
Print_ISBN
978-1-4244-8691-5
Type
conf
DOI
10.1109/ICEBEG.2011.5881534
Filename
5881534
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