English, Article edition: A Study on Stock-Selection and Market-Timing Performance: Evidence from Hong Kong Mandatory Provident Funds (MPF) Patrick Kuok-kun Chu; Michael McKenzie

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Physical Description
  • article
Language
  • English

Edition details

Title
  • A Study on Stock-Selection and Market-Timing Performance: Evidence from Hong Kong Mandatory Provident Funds (MPF)
Author
  • Patrick Kuok-kun Chu
  • Michael McKenzie
Physical Description
  • article
Notes
  • This paper presents the first comprehensive study of the performance and market timing ability of the equity funds that comprise the Hong Kong Mandatory Provident Funds (MPF) scheme. In general, our results suggest that US equity funds consistently underperform relative to the market, while the other fund groups consistently outperform the market. The stock-selection ability of MPF constituent equity funds in times of changing economic condition is also investigated. The evidence is consistent with previous studies, which suggest that the conditional models decrease the individual fund traditional alpha measure. The market timing models of TreynorâMazuy and HenrikssonâMerton provide evidence of superior market timing ability.
  • Pension funds, stock-selection performance evaluation, market-timing ability, conditional models, JEL Code: G20, JEL Code: G23
  • RePEc:wsi:rpbfmp:v:11:y:2008:i:04:p:617-649
Language
  • English
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