Dynamic Asset Allocation in Chinese Stock Market
In this article the authors investigate asset allocation in the Chinese stock market from the perspective of incorporating return predictability. Based on a host of return predictors, they find significant out-of-sample return predictability in the Chinese stock market. They then examine the performance of active portfolio strategies—such as aggregate market timing as well as industry, size, and value-rotation strategies—designed to profitably exploit return predictability. Strong evidence is found by the authors that these portfolio strategies incorporating return predictability can deliver superior performance—up to 600 basis points per annum and almost double the Sharpe ratios—compared with the passive buy-and-hold benchmarks that ignore return predictability.
Asian Studies | Finance and Financial Management | Portfolio and Security Analysis
Journal of Portfolio Management
Institutional Investor Inc
CHEN, Jian; JIANG, Fuwei; and Jun TU.
Asset allocation in the chinese stock market: The role of return predictability. (2015). Journal of Portfolio Management. 41, (5), 71-83. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/4775
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