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Macau Periodical Index (澳門期刊論文索引)
- Author
- Zeng, De-Ming; Zha, Qi,; Gong, Hong
- Title
- Fund characteristics, management properties and performance: an empirical investigation on Chinese listed close-end funds
- Journal Name
- Euro Asia Journal of Management
- Pub. Info
- Dec. 2005, Vol.15, No.2, pp. 81-98
- Abstract
- Abstract : This paper provides a comprehensive examination of the recent performance of listed close-end funds in China from Ist January 2001 to 1st January 2004 in an effort to link the performance to fund-specific characteristics and management properties through a multiple factors fixed-effects model. The results indicate that one-year lagged performance, discount rate and unit net asset value have significant and positive impacts on fund performance, while market benefit influences performance negatively and significantly. In contrast to previous research, we suggest that the working experience of fund managers has a negative relationship with performance. Furthermore, fund investment styles do not matter much for fund performance. In the end, the results suggest that the performance of Chinese close-end funds exhibits significant persistence during the evaluation period. In addition, based on the analysis of the fund age and turnover, the paper provides insights into the issue that older and more active funds do not ensure better performance in future. Paragraph Headings: 1. Introduction 2. Literature review 2.1. Fund characteristics and performance 2.2. Management properties and performance 2.3. Performance persistence 3. Data and methodology 3.1. Data collection and sample 3.2. Benchmark and risk free rate return 3.3. Multiple factors fixed-effects model 3.4. Variable description 3.5. Multicollinearity test 4. Results 4.1. Five main factors vs performance 4.2. Other fund characteristics and management properties vs performance 5. Conclusions Tables: 1. Risk-free rate of return from 2001-2004 2. Overall descriptive statistics for the entire sample funds excluding fixed-effects variables 3. Correlation matrix of 22 independent variables 4. ANOVA of OLS regression on non-fixed effects variables 5. Coefficient estimates of 22 independent variables Figures: 1. The development of fund size in China(1998-2004) 2. The structure of fund management companies in China