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Luck Versus Skill: Can Chinese Funds Beat the Market?

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  • Liuyong Yang
  • Weidi Liu

Abstract

In this article, we examine luck versus skill in Chinese mutual fund performance. A bootstrap approach has been applied to 773 open-end equity funds over the period 2002–13. Both the analyses with a returns-based measure and a holdings-based measure suggest the same result: no fund in China can outperform the market. We also find that more growth funds have positive alphas, but the result is not statistically significant. For sub-periods, we find that compared with the period 2008–13 there are fewer unskilled managers than during the period 2002–7. The analyses with different bootstrap rules and different minimum data requirements suggest the same result.

Suggested Citation

  • Liuyong Yang & Weidi Liu, 2017. "Luck Versus Skill: Can Chinese Funds Beat the Market?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(3), pages 629-643, March.
    • Handle: RePEc:mes:emfitr:v:53:y:2017:i:3:p:629-643
    DOI: 10.1080/1540496X.2015.1097951
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    Cited by:

    1. Fiza Qureshi & Ali M. Kutan & Habib Hussain Khan & Saba Qureshi, 2019. "Equity fund flows, market returns, and market risk: evidence from China," Risk Management, Palgrave Macmillan, vol. 21(1), pages 48-71, March.
    2. Sanaullah & Muhammad Shahbaz Khan & Dr. Amna Noor & Salleh Khan, 2021. "An Investigation of Market Timing Ability of Mutual Fund Managers in Pakistan," iRASD Journal of Management, International Research Alliance for Sustainable Development (iRASD), vol. 3(1), pages 56-68, june.
    3. K. J. Huang, 2022. "DeepValue: A Comparable Framework for Value-Based Strategy by Machine Learning," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 325-346, June.
    4. Ayadi, Mohamed A. & Lazrak, Skander & Liao, Yusui & Welch, Robert, 2018. "Performance of fixed-income mutual funds with regime-switching models," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 217-231.
    5. Qureshi, Fiza & Kutan, Ali M. & Ghafoor, Abdul & Hussain Khan, Habib & Qureshi, Zeeshan, 2019. "Dynamics of mutual funds and stock markets in Asian developing economies," Journal of Asian Economics, Elsevier, vol. 65(C).

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