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)
|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|
|Reuse Permissions||All Rights Reserved|
|Note||Doctoral Dissertation Business Administration 2016|
|Collaborating Institutions||Graduate College / ASU Library|
|Additional Formats||MODS / OAI Dublin Core / RIS|