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Investment Style and Performance Attribution Analysis on Chinese A Share Market


Abstract With the fast development of Chinese capital market, an increasing number of institutions and retail investors invest through professional managers. The key to evaluating investment manager’s skill and performance persistence largely lies in portfolio style research and attribution analysis.

The current dissertation takes advantage of a unique dataset, uncover hidden investment style and trading behavior, understanding their source of excess returns, and establishing a more comprehensive methodology for evaluating portfolio performance and manager skills.

The dissertation focuses on quantitative analysis. Highlights three most important aspects. Investment style determines the systematic returns and risks of any portfolio, and can be ... (more)
Created Date 2016
Contributor Zhan, Yuyin (Author) / Gu, Bin (Advisor) / Wang, Jiang (Advisor) / Wang, Tan (Committee member) / Arizona State University (Publisher)
Subject Business administration / Chinese A share / Investment style / Performance attribution / turnover
Type Doctoral Dissertation
Extent 88 pages
Language English
Copyright
Reuse Permissions All Rights Reserved
Note Doctoral Dissertation Business Administration 2016
Collaborating Institutions Graduate College / ASU Library
Additional Formats MODS / OAI Dublin Core / RIS


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Description Dissertation/Thesis