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- W2989590579 abstract "Many academic studies on stock markets provide evidence of style rotation and methods of style investing. However, most of the researches are based on U.S. Domestic equity mutual funds. In this paper, we present that the existence of this phenomenon in Chinese stock markets and propose a new index, named stock market characteristics index (SMCI) to investigate style rotation, which is also the fundamental of style investing strategies. For a large sample of data, our backtesting results suggest that, compared to the benchmark, these strategies can achieve superior performance, which is still robust when investing in different stock indexes between the two equity segments. Hence, it is important for delegated portfolio management to consider style rotation when investing in Chinese stock market." @default.
- W2989590579 created "2019-12-05" @default.
- W2989590579 creator A5008147278 @default.
- W2989590579 date "2019-01-01" @default.
- W2989590579 modified "2023-09-26" @default.
- W2989590579 title "The study of style rotation in chinese stock market" @default.
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- W2989590579 doi "https://doi.org/10.1145/3361785.3361820" @default.
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