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Buffett's Alpha in China

Other title沃伦·巴菲特的阿尔法 在中国资本市场的实证研究
ContributorsWang, Guobin
Number of pages73
Imprimatur date2019
Defense date2019
Abstract

Warren Buffett is renowned across the globe for his investment style. Frazzini, Kabiller and Pedersen (2018) did a fantastic empirical study on Buffett’s performance, and achieved a competitive result by constructing a systematic Buffett-style quantitative portfolio.

It is an interesting problem to discuss whether the Buffett-style investment could as well deliver considerable performance in China A-share market. Due to the gradual changes in investors’ structure in China, an empirical study on the effectiveness of Buffett’s investment philosophy is of great significance and necessity.

This paper refers to the decomposition of Buffet’s history performance by Frazzini, Kabiller and Pedersen (2018) and constructs the corresponding factors in consideration of the realistic situations in China utilizing the China A-share market data. We also deliver a Chinese version of Buffett-style portfolio. We find that quality, value and risk composite factors have impressive stock selection ability and the mimic quantitative portfolio based on these three composite factors embraces a significant alpha in both the overall-market sample and in a larger size and more liquid sub-sample in the A-share stock market. Our empirical results demonstrate value investment strategy also works in China. By proving the effectiveness of this strategy, we provide not only confidence for value investors in China, but also a practical way to mimic Buffett-style investment for Chinese quantitative investors.

engchi
Keywords
  • Buffett-style
  • Quantitative Strategy
  • China A-Share Market
Citation (ISO format)
WANG, Guobin. Buffett’s Alpha in China. 2019.
Main files (2)
Thesis
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Thesis - Version chinoise
accessLevelPublic
Identifiers
  • PID : unige:172730
  • Thesis number : DAPS-0001
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