An Empirical Performance Evaluation of Closed-end Funds in China

Peng, Qian (2006) An Empirical Performance Evaluation of Closed-end Funds in China. [Dissertation (University of Nottingham only)] (Unpublished)

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The amount of wealth managed by investment companies has grown dramatically over the past few decades, particularly in China. The growth of investment funds plays a key role in the reform and stable development of China's capital market, which has resulted in an increase in demand for the evaluation of fund performance. This study examined 23 closed-end funds during the period 5 January 2001 to 30 June 2006. The research objective was to examine whether the closed-end funds outperformed the market, therefore a quantitative research method was used in the study, and three traditional risk adjusted performance measures-Jensen's alpha, Sharpe ratio, and Treynor ratio- were employed to evaluate the funds' performance. The one-sample t-test was also used to test the mean difference between the funds and the market index.

Based on the Sharpe ratio, the results suggested that on average the closed-end funds tended to under perform during the period 2001 to 2006. There were some funds that could generate positive abnormal returns for their investors, although the ability of generation was insignificant. The Treynor ratio was statistically insignificant in the one-sample t-test; the results were acceptable because of the unique features of the Chinese market. Indeed, the stock market efficiency tests confirmed that China's stock markets were not efficient; furthermore, the research model was based on the CAPM, which is widely used in the evaluation of investment fund performance. However, recent empirical research has shown that the model is poor and that problems arise when the CAPM is applied; these are serious enough to invalidate most applications. All of these issues are considered in the following sections.

Item Type: Dissertation (University of Nottingham only)
Keywords: closed-end funds, risk adjusted performance measures, regression analysis,
Depositing User: EP, Services
Date Deposited: 21 Dec 2006
Last Modified: 09 Mar 2018 16:49

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