Investment Style Analysis of Open-end Funds in China: Return-based Quantile Regression Analysis

Document Type

Conference Proceeding

Publication Date

2011

Publication Title

2011 International Conference on E-Business and E-Government, ICEE2011 - Proceedings

Publisher

IEEE

First page number:

402

Last page number:

406

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

China; Investment analysis; Investment styles; Mutual funds; Open-end funds; Quantile regression; Stocks; Value investing

Disciplines

Applied Mathematics | Finance and Financial Management | Mathematics | Portfolio and Security Analysis

Language

English

Comments

From: E -Business and E -Government (ICEE), 2011 International Conference on 6-8 May 2011, Shanghai, China

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