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Buffet's Alpha: An Empirical Study of Mutual Funds in China

Other title巴菲特的 Alpha: 来自中国共同基金的实证研究
ContributorsHou, Yue
DirectorsBerrada, Tony
Number of pages74
Imprimatur date2022
Defense date2022
Abstract

This work investigates the characteristics of industry preferences in Buffett’s investment style, which is an equally important source of Buffett’s Alpha. A five-factor model (CH-5) that consists of three factors for China’s market (CH-3) and the factors betting against beta (BAB) and quality minus junk (QMJ) is constructed to empirically analyze A- shares in China’s stock market and China’s mutual funds. The findings of the research are as follows: (i) BAB and QMJ, which represent Buffett’s investment style, have significant returns in China’s A-share market; (ii) compared with the CH-3 model, the CH-5 model that incorporates BAB and QMJ has a more explanatory power for mutual fund returns in China; (iii) the Alpha under the five-factor model (CH-5) developed in this work has a significant predictive effect for the cross-sectional returns of China’s mutual funds.

engchi
Keywords
  • Buffett's Industry Preference in Investments
  • Five-Factor Model (CH-5)
  • China's Mutual Funds
Citation (ISO format)
HOU, Yue. Buffet’s Alpha: An Empirical Study of Mutual Funds in China. 2022.
Main files (2)
Thesis
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Thesis - Version chinoise
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Identifiers
  • PID : unige:177585
  • Thesis number : 0021
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