Title

Asset Allocation in the Chinese Stock Market: The Role of Return Predictability

Alternative Title

Dynamic Asset Allocation in Chinese Stock Market

Publication Type

Journal Article

Publication Date

1-2015

Abstract

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.

Discipline

Asian Studies | Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Finance

Publication

Journal of Portfolio Management

Volume

41

Issue

5

First Page

71

Last Page

83

ISSN

0095-4918

Identifier

10.3905/jpm.2015.41.5.071

Publisher

Institutional Investor Inc

Additional URL

http://dx.doi.org/10.3905/jpm.2015.41.5.071

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