A Study on Stock-Selection and Market-Timing Performance: Evidence from Hong Kong Mandatory Provident Funds (MPF)

23 Pages Posted: 16 Jul 2007

See all articles by Patrick Kuok-Kun Chu

Patrick Kuok-Kun Chu

University of Macau - Faculty of Business Administration

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Date Written: July 16, 2007

Abstract

This paper presents the first comprehensive study of the performance and market timing ability of the equity funds that comprise the Hong Kong Mandatory Provident Funds (MPF) scheme. In general, our results suggest that US equity funds consistently underperform relative to the market, while the other fund groups consistently outperform the market. The stock-selection ability of MPF constituent equity funds in times of changing economic condition is also investigated. The evidence is consistent with previous studies, which suggest that the conditional models decrease the individual fund traditional alpha measure. The market timing models of Treynor-Mazuy and Henriksson-Merton, provide evidence of superior market timing ability.

Keywords: Pension funds, stock-selection performance evaluation, market-timing ability, conditional models

JEL Classification: G20, G23

Suggested Citation

Chu, Patrick Kuok-Kun, A Study on Stock-Selection and Market-Timing Performance: Evidence from Hong Kong Mandatory Provident Funds (MPF) (July 16, 2007). 20th Australasian Finance & Banking Conference 2007 Paper, Available at SSRN: https://ssrn.com/abstract=1000821 or http://dx.doi.org/10.2139/ssrn.1000821

Patrick Kuok-Kun Chu (Contact Author)

University of Macau - Faculty of Business Administration ( email )

Macau

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