Title :
Performance evaluation of Chinese Stock Open-end funds based on their unobserved actions
Author :
Di-xin, Zhang ; Chen-jun, Fang
Author_Institution :
Sch. of Bus., Nanjing Univ., Nanjing, China
Abstract :
To measure the unobserved actions of mutual funds, this essay adopts a new variable called the return gap. In this way, we examine the influence of funds´ unobserved actions on fund holders. Moreover, based on the unobserved actions, we further modify the Fama-French model and analyze the unobserved actions´ determinants, persistence and performance evaluation, through the panel data of 98 Chinese Stock Open-end Funds. Lastly, this essay ends with the conclusions that unobserved actions can reflect decisive fund properties such as interim transaction costs and fund risks, that the actions can better evaluate the fund performance, and that the evaluation of unobserved actions can help fund holders, with higher accuracy, to choose from different funds.
Keywords :
risk analysis; stock markets; Chinese stock open end funds; Fama-French model; fund risks; interim transaction costs; mutual funds; performance evaluation; unobserved actions; Computational modeling; Equations; Investments; Mathematical model; Mutual funds; Performance evaluation; Radio frequency; Fama-French model; performance evaluation; return gap; unobserved actions;
Conference_Titel :
Management Science and Engineering (ICMSE), 2011 International Conference on
Conference_Location :
Rome
Print_ISBN :
978-1-4577-1885-4
DOI :
10.1109/ICMSE.2011.6070137