Investing in Mutual Funds Using the Bayesian Framework: Evidence from China

References

• Avramov, D., and G. Zhou. 2010. Bayesian portfolio analysis. Annual Review of Financial Economics 2 (1):25–47.
   Web of Science ®Google Scholar
• Baks, K. P., A. Metrick, and J. Wachter. 2001. Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation. The Journal of Finance 56 (1):45–85.
   Web of Science ®Google Scholar
• Busse, J. A., and P. J. Irvine. 2006. Bayesian alphas and mutual fund persistence. The Journal of Finance 61 (5):2251–88.
   Web of Science ®Google Scholar
• Chen, L. H., and H. H. Chen. 2017. Applying a bootstrap analysis to evaluate the performance of Chinese mutual funds. Emerging Markets Finance and Trade 53 (4):865–76.
   Web of Science ®Google Scholar
• Cuthbertson, K., D. Nitzsche, and N. O’Sullivan. 2008. UK mutual fund performance: Skill or luck? Journal of Empirical Finance 15 (4):613–34.
   Web of Science ®Google Scholar
• Elton, E. J., M. J. Gruber, S. Das, and M. Hlavka. 1993. Efficiency with costly information: A reinterpretation of evidence from managed portfolios. Review of Financial Studies 6:1–21.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1):3–56.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 2010. Luck versus skill in the cross-section of mutual fund returns. Social Science Electronic Publishing 65 (5):1915–47.
   Google Scholar
• Ferson, W., and H. Mo. 2016. Performance measurement with selectivity, market and volatility timing. Journal of Financial Economics 121(1):93–110.
   Web of Science ®Google Scholar
• Herrmann, U., and H. Scholz. 2013. Short-term persistence in hybrid mutual fund performance: The role of style-shifting abilities. Journal of Banking Finance 37:2314–28.
   Web of Science ®Google Scholar
• Huij, J., and M. Verbeek. 2007. Cross-sectional learning and short-run persistence in mutual fund performance. Journal of Banking Finance 31 (3):973–97.
   Web of Science ®Google Scholar
• Jegadeesh, N., and S. Titman. 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance 48 (1):65–91.
   Web of Science ®Google Scholar
• Jones, C. S., and J. Shanken. 2005. Mutual fund performance with learning across funds. Journal of Financial Economics 78 (3):507–52.
   Web of Science ®Google Scholar
• Kacperczyk, M., S. V. Nieuwerburgh, and L. Veldkamp. 2014. Time‐varying fund manager skill. The Journal of Finance 69 (4):1455–84.
   Web of Science ®Google Scholar
• Kenyon, H. 2012. Preqin special report: venture capital. Preqin Ltd.
   Google Scholar
• Kosowski, R. et al. 2006. Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis. The Journal of Finance 61 (6): 2551–95.
   Google Scholar
• Pástor, Ľ. 2000. Portfolio selection and asset pricing models. The Journal of Finance 55 (1):179–223.
   Web of Science ®Google Scholar
• Pástor, Ľ., and R. F. Stambaugh. 1999. Costs of equity capital and model mispricing. The Journal of Finance 54 (1):67–121.
   Web of Science ®Google Scholar
• Pástor, Ľ., and R. F. Stambaugh. 2000. Comparing asset pricing models: An investment perspective. Journal of Financial Economics 56 (3):335–81.
   Web of Science ®Google Scholar
• Pástor, Ľ., and R. F. Stambaugh. 2002a. Investing in equity mutual funds. Journal of Financial Economics 63 (3):351–80.
   Web of Science ®Google Scholar
• Pástor, Ľ., and R. F. Stambaugh. 2002b. Mutual fund performance and seemingly unrelated assets. Journal of Financial Economics 63 (3):315–49.
   Web of Science ®Google Scholar
• Sensoy, B. A. 2009. Performance evaluation and self-designated benchmark indexes in the mutual fund industry. Journal of Financial Economics 92 (1):25–39.
   Web of Science ®Google Scholar
• Wermers, R. 2000. Mutual fund performance: An empirical decomposition into stock-picking talent, style, transaction costs, and expenses. Journal of Finance 55:1655–95.
   Web of Science ®Google Scholar
• Yang, L., and W. Liu. 2017. Luck versus skill: Can Chinese funds beat the market? EMERGING Markets Finance and Trade 53 (3):629–43.
   Web of Science ®Google Scholar