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
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;
Conference_Titel :
E -Business and E -Government (ICEE), 2011 International Conference on
Conference_Location :
Shanghai, China
Print_ISBN :
978-1-4244-8691-5
DOI :
10.1109/ICEBEG.2011.5881534
