Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor | Graduate School of Business | en_US |
| dc.contributor.advisor | Cheng, Louis (AF) | en_US |
| dc.creator | Fong, Chi Wah | - |
| dc.identifier.uri | https://theses.lib.polyu.edu.hk/handle/200/12524 | - |
| dc.language | English | en_US |
| dc.publisher | Hong Kong Polytechnic University | en_US |
| dc.rights | All rights reserved | en_US |
| dc.title | Can fund managers time the market and achieve superior risk adjusted returns? Evidence from different categories of Hong Kong equity funds | en_US |
| dcterms.abstract | This study employs the monthly return data of 51 Hong Kong focused equity funds and tests the market-timing ability of these funds under general and volatile market conditions. The results demonstrate that there is both a positive and a negative market-timing ability under general and volatile market conditions. | en_US |
| dcterms.abstract | When applying traditional models, namely Treynor and Mazuy’s (1966) Model and Henriksson and Merton’s (1981) Model under general market conditions, all fund groups, except the MPF group compared with the Hang Seng Index, show a negative or insignificant market-timing ability. The MPF group compared with the Hang Seng Index shows a positive market-timing ability. | en_US |
| dcterms.abstract | When applying additional modified models under volatile market conditions, all fund groups, except the SFC group and MPF group compared with the Hang Seng Index under certain market conditions, show a negative or insignificant market-timing ability. The SFC group and MPF group compared with the Hang Seng Index under certain market conditions demonstrate a positive market-timing ability. | en_US |
| dcterms.abstract | The positive market-timing ability exists more prominently under volatile down market conditions than volatile up market conditions while the negative market-timing ability exists more prominently in volatile up market conditions than volatile down market conditions. | en_US |
| dcterms.abstract | There is more negative market-timing ability than positive market-timing ability under general and volatile market conditions. The MPF group achieved a relatively higher extent of the positive market-timing ability. | en_US |
| dcterms.abstract | We find evidence to support the impact of various regulatory constraints and monitoring on the market-timing ability of different categories of mutual funds under general and volatile market conditions. The greater the extent of regulatory constraints and monitoring, the lower the level of risks the mutual funds take and the greater the market-timing ability is. O&I funds are subject to minimum regulatory constraints and monitoring; their standard deviations of return are the highest, but they show no market-timing ability. SFC funds are subject to a relatively low extent of regulatory constraints and monitoring; their standard deviations of return are between those of the O&I funds and the MPF funds and they show little market-timing ability. MPF funds are subject to the highest extent of regulatory constraints and monitoring; their standard deviations and semi-standard deviations of return are the lowest and their market-timing ability is the highest among all groups. | en_US |
| dcterms.abstract | This study provides evidence that the regulatory constraints and monitoring do not affect fund performance in a negative way. The MPF funds, on average, show superior market-timing ability and risk-adjusted returns. The four MPF funds show positive market-timing ability and their risk-adjusted returns are superior to all O&I funds and all but three SFC funds. One MPF fund showing positive market-timing ability achieves the highest risk-adjusted return among all funds. However, flexibility in investment and operation does not necessarily lead to success. When evaluating returns without taking risks into account, the MPF funds perform better than the O&I funds but slightly worse than the SFC funds. | en_US |
| dcterms.abstract | The performance of the MPF funds is consistent with the requirements of the MPF beneficiaries who are relatively risk-averse and have a relatively long investment horizon. | en_US |
| dcterms.extent | xxv, 168 pages : illustrations | en_US |
| dcterms.isPartOf | PolyU Electronic Theses | en_US |
| dcterms.issued | 2008 | en_US |
| dcterms.educationalLevel | D.B.A. | en_US |
| dcterms.educationalLevel | All Doctorate | en_US |
| dcterms.LCSH | Pension trusts -- China -- Hong Kong -- Management | en_US |
| dcterms.LCSH | Pension trusts -- Management | en_US |
| dcterms.LCSH | Risk management | en_US |
| dcterms.LCSH | Hong Kong Polytechnic University -- Dissertations | en_US |
| dcterms.accessRights | restricted access | en_US |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 7000.pdf | For All Users (off-campus access for PolyU Staff & Students only) | 1.79 MB | Adobe PDF | View/Open |
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