원문정보
초록
영어
This study investigates the impact of incubation on the effectiveness of copycat funds in the largest emerging market, China. The empirical findings are as follows. First, unlike the U.S., the overall findings exclude the possibility of successfully copying equity funds in China. Second, an advisory company’s fund incubation makes it harder to free-ride on new funds than old funds. Third, incubation is generally undertaken for new funds in a bullish market so that copycat returns of new-minus-old funds have a negative correlation with market returns. Fourth, the effect of long Chinese Lunar Year holiday impairs the performance of primitive funds, consequently, copying is effective in January and February. Finally, logit analysis shows that copying is successful for those funds with low performance and low turnover ratios.
목차
1. Introduction
2. Regulations for fund set-up and holdings disclosure in China
2.1 Set-up rules and practices
2.2 Holdings-disclosure rules and practices
3. Data and copycat fund returns
3.1 Data
3.2 Calculation of copycat fund returns
4. Empirical evidence
4.1 Effectiveness of copycat funds and the impact of incubation
4.2 Annual analysis of market conditions with regard to copying equity funds
4.3 Calendar-month analysis of market conditions with regard to copying equity fund
4.4 Determinants of successful copycat funds
5. Concluding remarks
Reference
Table
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