Alternative Title
Dynamic Asset Allocation in Chinese Stock Market
Publication Type
Journal Article
Version
submittedVersion
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.
Keywords
Chinese Stock Market, Asset Allocation, Return Predictability, Combination Forecast
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
Citation
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.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/4775
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.3905/jpm.2015.41.5.071
Included in
Asian Studies Commons, Finance and Financial Management Commons, Portfolio and Security Analysis Commons