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Cheng Yan
University of Essex, Colchester, Essex, United Kingdom

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Research article
Published: 08 April 2021 in Journal of Travel Research
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Capital investment is vital for sustainable tourism growth, particularly in times of geopolitical turmoil. This study examines how tourism investment was influenced by geopolitical risks considering social globalization as a moderating factor. Data were collected from 18 developing economies between 1995 and 2018. The results from the fixed effects and the least squares dummy variable–corrected methods show that the geopolitical risks negatively affect capital investment in tourism, with social globalization playing a moderating role in alleviating the adverse effect. The results were robust to different measures and analyses. The study advances our understanding of sustainable tourism growth amid geopolitical turmoil. Policymakers, especially those from developing economies, are suggested to be vigilant about the media atmosphere of geopolitics and enhancing social globalization as a countermeasure against politically turbulent times. The study also provides implications for alleviating the impact of the global pandemic on tourism investment.

ACS Style

Giray Gozgor; Marco Chi Keung Lau; Yan Zeng; Cheng Yan; Zhibin Lin. The Impact of Geopolitical Risks on Tourism Supply in Developing Economies: The Moderating Role of Social Globalization. Journal of Travel Research 2021, 1 .

AMA Style

Giray Gozgor, Marco Chi Keung Lau, Yan Zeng, Cheng Yan, Zhibin Lin. The Impact of Geopolitical Risks on Tourism Supply in Developing Economies: The Moderating Role of Social Globalization. Journal of Travel Research. 2021; ():1.

Chicago/Turabian Style

Giray Gozgor; Marco Chi Keung Lau; Yan Zeng; Cheng Yan; Zhibin Lin. 2021. "The Impact of Geopolitical Risks on Tourism Supply in Developing Economies: The Moderating Role of Social Globalization." Journal of Travel Research , no. : 1.

Journal article
Published: 27 January 2021 in Energy Economics
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We uncover the marginal impacts of energy prices on carbon price variations across carbon-energy price distributions in Phase III of the European Union Emission Trading Scheme (EU ETS). Applying a novel Quantile-on-Quantile (QQ) regression and the causality-in-quantiles approach, our empirical results demonstrate asymmetric and negative impacts of energy prices on carbon prices. The impacts are stronger at lower carbon quantiles and relatively smaller at higher quantiles (in absolute terms). Concerning different energy sources, the impacts of both oil and coal prices show a quasi-monotonic increase along with a rise in carbon quantiles; the absolute values of their impacts are much greater than that of the gas price impacts, depicting a relatively flat pattern. The results are consistent with our theoretical explanations which identify the two effect-transmission channels from energy to carbon prices, viz. the aggregated carbon demand effect and the fuel-switching effect. Thanks to the differences in energy sources and variability over their price distributions, the observed differential in carbon price-response is an indication of non-unique carbon market dynamics, the efficient management of which would require differentiated policy interventions. Robustness checks further confirm the accuracy of our conclusions.

ACS Style

Kun Duan; Xiaohang Ren; Yukun Shi; Tapas Mishra; Cheng Yan. The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach. Energy Economics 2021, 95, 105131 .

AMA Style

Kun Duan, Xiaohang Ren, Yukun Shi, Tapas Mishra, Cheng Yan. The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach. Energy Economics. 2021; 95 ():105131.

Chicago/Turabian Style

Kun Duan; Xiaohang Ren; Yukun Shi; Tapas Mishra; Cheng Yan. 2021. "The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach." Energy Economics 95, no. : 105131.

Journal article
Published: 20 October 2020 in Applied Economics
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ACS Style

Dayong Dong; Giray Gozgor; Zhou Lu; Cheng Yan. Personal consumption in the United States during the COVID-19 crisis. Applied Economics 2020, 53, 1311 -1316.

AMA Style

Dayong Dong, Giray Gozgor, Zhou Lu, Cheng Yan. Personal consumption in the United States during the COVID-19 crisis. Applied Economics. 2020; 53 (11):1311-1316.

Chicago/Turabian Style

Dayong Dong; Giray Gozgor; Zhou Lu; Cheng Yan. 2020. "Personal consumption in the United States during the COVID-19 crisis." Applied Economics 53, no. 11: 1311-1316.

Journal article
Published: 12 October 2020 in Management Science
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We examine the problem of an investor who trades in a market with unobservable regime shifts. The investor learns from past prices and is subject to transaction costs. Our model generates significantly larger liquidity premia compared with a benchmark model with observable market shifts. The larger premia are driven primarily by suboptimal risk exposure, as turnover is lower under incomplete information. In contrast, the benchmark model produces (mechanically) high turnover and heavy trading costs. We provide empirical support for the amplification effect of incomplete information on the relation between trading costs and future stock returns. We also show empirically that such amplification is not driven by turnover. Overall, our results can help explain the large disconnect between theory and evidence regarding the magnitude of liquidity premia, which has been a longstanding puzzle in the literature. This paper was accepted by Kay Giesecke, finance.

ACS Style

Yingshan Chen; Min Dai; Luis Goncalves-Pinto; Jing Xu; Cheng Yan. Incomplete Information and the Liquidity Premium Puzzle. Management Science 2020, 1 .

AMA Style

Yingshan Chen, Min Dai, Luis Goncalves-Pinto, Jing Xu, Cheng Yan. Incomplete Information and the Liquidity Premium Puzzle. Management Science. 2020; ():1.

Chicago/Turabian Style

Yingshan Chen; Min Dai; Luis Goncalves-Pinto; Jing Xu; Cheng Yan. 2020. "Incomplete Information and the Liquidity Premium Puzzle." Management Science , no. : 1.

Research article
Published: 08 October 2020 in International Journal of Finance & Economics
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This paper empirically investigates the out‐of‐sample performance of the 1/N naive rule and the Markowitz mean–variance strategies in the largest emerging market (i.e., China's A‐shares market) and provides three new findings. First, we show that some mean–variance optimization strategies can outperform the 1/N rule in China's A‐shares market, while minimum‐variance strategies cannot. Using certainty equivalent return (CER) instead of Sharpe ratios does not change our results qualitatively. Second, we find an obvious advantage of mean–variance optimization when N is large. Third, when transaction costs are taken into account, the profitability of the unconstrained mean–variance optimizations almost vanishes, while the profitability of the mean–variance optimizations with the short‐sale constraint remains. Our results are robust to using a shorter estimation window of about 60 months. These results provide support for the use of optimal diversification strategies in emerging markets.

ACS Style

Cheng Yan; Ji Yan. Optimal and naive diversification in an emerging market: Evidence from China's A‐shares market. International Journal of Finance & Economics 2020, 1 .

AMA Style

Cheng Yan, Ji Yan. Optimal and naive diversification in an emerging market: Evidence from China's A‐shares market. International Journal of Finance & Economics. 2020; ():1.

Chicago/Turabian Style

Cheng Yan; Ji Yan. 2020. "Optimal and naive diversification in an emerging market: Evidence from China's A‐shares market." International Journal of Finance & Economics , no. : 1.

Journal article
Published: 07 October 2020 in Sustainability
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This study investigates the impacts of access to high-speed railway networks (HSRN) on urban innovative performance using a difference-in-difference method and a unique dataset including patents, nighttime lights, and HSRN at the city-level in China. First, access to HSRN significantly and positively affects the city’s innovative performance. Results remain robust after substituting different innovation indicators and controlling for city-level factors. Second, the impacts vary with the size of cities. Specifically, the benefits of access to HSRN for large and small cities are greater than for medium-sized cities, which shows a quasi-U-shaped relationship. Third, the positive effects of access to HSRN on innovation performance are stronger in knowledge-intensive industries for large cities and where there is high population mobility among cities.

ACS Style

Qunyang Du; Hangdong Yu; Cheng Yan; Tianle Yang. Does High-Speed Rail Network Access Enhance Cities’ Innovation Performance? Sustainability 2020, 12, 8239 .

AMA Style

Qunyang Du, Hangdong Yu, Cheng Yan, Tianle Yang. Does High-Speed Rail Network Access Enhance Cities’ Innovation Performance? Sustainability. 2020; 12 (19):8239.

Chicago/Turabian Style

Qunyang Du; Hangdong Yu; Cheng Yan; Tianle Yang. 2020. "Does High-Speed Rail Network Access Enhance Cities’ Innovation Performance?" Sustainability 12, no. 19: 8239.

Original article
Published: 05 October 2020 in The World Economy
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In this study, we investigate the effects of globalisation on polarisation in a panel dataset of 149 countries between 2000 and 2017. We consider the Revisited KOF Globalisation indices and two measures of polarisation: polarisation of society and political polarisation. The findings show that globalisation decreases polarisation. We also separate de jure and de facto measures of globalisation and observe significant suppressing effects of the de facto and de jure indices of globalisation on both indicators of polarisation. In addition, we find that economic and political globalisation measures are negatively related to polarisation indicators. The baseline findings are robust to estimate different models and to use different econometric procedures. Finally, we address potential issues with endogeneity, omitted variable bias, outliers, and reverse causality.

ACS Style

Jianchun Fang; Giray Gozgor; Cheng Yan. Does globalisation alleviate polarisation? The World Economy 2020, 44, 1031 -1052.

AMA Style

Jianchun Fang, Giray Gozgor, Cheng Yan. Does globalisation alleviate polarisation? The World Economy. 2020; 44 (4):1031-1052.

Chicago/Turabian Style

Jianchun Fang; Giray Gozgor; Cheng Yan. 2020. "Does globalisation alleviate polarisation?" The World Economy 44, no. 4: 1031-1052.

Article
Published: 29 August 2020 in The Journal of Real Estate Finance and Economics
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We study whether Google search behavior for “mortgage assistance” and “foreclosure help” aggregated in the mortgage default risk indicator (MDRI) of Chauvet et al. (2016) helps predict future house prices and foreclosures in local residential markets. Using a long-run equilibrium model, we disaggregate house prices into their fundamental and bubble components, and we find that MDRI dampens both components of house prices. This negative relationship is robust to various model specifications and time horizons. A higher intensity of search online, however, is associated with lower future foreclosure rates. We also find that foreclosure rates increase after a decline in the fundamental component of home values, but are not sensitive to their transitory (bubble) component. Foreclosure rates are higher in metropolitan areas located in non-recourse states. We interpret these findings as evidence for strategic household behavior. Our paper sheds new light on the predictive power of household sentiment derived from Google searches on prices and foreclosure rates in local housing markets.

ACS Style

Damian S. Damianov; Xiangdong Wang; Cheng Yan. Google Search Queries, Foreclosures, and House Prices. The Journal of Real Estate Finance and Economics 2020, 63, 177 -209.

AMA Style

Damian S. Damianov, Xiangdong Wang, Cheng Yan. Google Search Queries, Foreclosures, and House Prices. The Journal of Real Estate Finance and Economics. 2020; 63 (2):177-209.

Chicago/Turabian Style

Damian S. Damianov; Xiangdong Wang; Cheng Yan. 2020. "Google Search Queries, Foreclosures, and House Prices." The Journal of Real Estate Finance and Economics 63, no. 2: 177-209.

Journal article
Published: 01 May 2020 in Economic Modelling
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We investigate whether foreign institutional investors can outperform domestic benchmarks. Using portfolio holding-based approaches for the Chinese Qualified Foreign Institutional Investors (QFIIs), we identify fund’s active manager opinions and information on the future value of stocks. We find stocks actively traded by QFIIs, and stocks with higher deviation from benchmarks (DFB) outperform their benchmarks in the subsequent one to three quarters. Such “hot hand” phenomenon is driven by foreign institutions’ investment skill in incorporating stale information rather than fresh information into asset pricing. Our findings shed new light on the roles of foreign equity funds in eliminating mispricing in emerging markets, and provide evidence on rethinking the role of financial intermediation in a capital-controlled economy.

ACS Style

Jinhua Zhang; Guipu Wang; Cheng Yan. Can foreign equity funds outperform their benchmarks? New evidence from fund-holding data for China. Economic Modelling 2020, 90, 11 -20.

AMA Style

Jinhua Zhang, Guipu Wang, Cheng Yan. Can foreign equity funds outperform their benchmarks? New evidence from fund-holding data for China. Economic Modelling. 2020; 90 ():11-20.

Chicago/Turabian Style

Jinhua Zhang; Guipu Wang; Cheng Yan. 2020. "Can foreign equity funds outperform their benchmarks? New evidence from fund-holding data for China." Economic Modelling 90, no. : 11-20.

Articles
Published: 02 April 2020 in Investment Analysts Journal
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We investigate whether the option implied volatility predicts the future realised volatility of the underlying securities and whether volatility risk factors exploited from options are pricing factors. Our sample includes six popular stock indices such as the S&P 500 and S&P 100 and their options from January 2007 to November 2017. We find option implied volatility of every stock index is positively related to future realised volatility. Return distributions of index call and put contracts exhibit similar a pattern with previous studies, with positive (negative) average call (put) return and highly skewed. Zero-beta straddle portfolio containing long position in one at-the-money call and put index option reports negative average monthly returns and becomes less negative over time. We find the market risk factor is a significant risk factor while the straddle return is an insignificant pricing factor.

ACS Style

Cheng Yan; Xiaoli Wu. Expected option returns during the post-GFC era. Investment Analysts Journal 2020, 49, 118 -131.

AMA Style

Cheng Yan, Xiaoli Wu. Expected option returns during the post-GFC era. Investment Analysts Journal. 2020; 49 (2):118-131.

Chicago/Turabian Style

Cheng Yan; Xiaoli Wu. 2020. "Expected option returns during the post-GFC era." Investment Analysts Journal 49, no. 2: 118-131.

Journal article
Published: 07 February 2020 in Sustainability
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This study analyzes urbanization, disasters, and their impact on tourism development for RCEP (Regional Comprehensive Economic Partnership) countries. We use ADF (Augmented Dickey-Fuller) and PP (Phillips-Perron) tests, causality tests, quantile regression, and fixed-effect panel models on data from 1995-2018. Empirical results show that urbanization does not help tourism development in the low quantiles but does help in the high quantiles. Disaster-preventive measures and post-disaster reconstruction help the development of tourism. However, in developed countries, disasters are not conducive to the development of tourism. Urbanization is the Granger cause of tourism and carbon emissions. The increase in temperature, rainfall, and carbon emissions caused by urbanization do not contribute to the development of tourism. Based on this, we have proposed a series of urbanization development and disaster defense measures to promote the sustainable development of tourism in RCEP countries.

ACS Style

Wanshan Wu; Qingyi Su; Chunding Li; Cheng Yan; Giray Gozgor. Urbanization, Disasters, and Tourism Development: Evidence from RCEP Countries. Sustainability 2020, 12, 1221 .

AMA Style

Wanshan Wu, Qingyi Su, Chunding Li, Cheng Yan, Giray Gozgor. Urbanization, Disasters, and Tourism Development: Evidence from RCEP Countries. Sustainability. 2020; 12 (3):1221.

Chicago/Turabian Style

Wanshan Wu; Qingyi Su; Chunding Li; Cheng Yan; Giray Gozgor. 2020. "Urbanization, Disasters, and Tourism Development: Evidence from RCEP Countries." Sustainability 12, no. 3: 1221.

Journal article
Published: 01 November 2019 in Journal of International Money and Finance
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ACS Style

Ana-Maria Fuertes; Kate Phylaktis; Cheng Yan. Uncovered equity “disparity” in emerging markets. Journal of International Money and Finance 2019, 98, 1 .

AMA Style

Ana-Maria Fuertes, Kate Phylaktis, Cheng Yan. Uncovered equity “disparity” in emerging markets. Journal of International Money and Finance. 2019; 98 ():1.

Chicago/Turabian Style

Ana-Maria Fuertes; Kate Phylaktis; Cheng Yan. 2019. "Uncovered equity “disparity” in emerging markets." Journal of International Money and Finance 98, no. : 1.

Journal article
Published: 17 August 2019 in The European Journal of Finance
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ACS Style

Zhehao Jia; Yukun Shi; Cheng Yan; Meryem Duygun. Bankruptcy prediction with financial systemic risk. The European Journal of Finance 2019, 26, 666 -690.

AMA Style

Zhehao Jia, Yukun Shi, Cheng Yan, Meryem Duygun. Bankruptcy prediction with financial systemic risk. The European Journal of Finance. 2019; 26 (7-8):666-690.

Chicago/Turabian Style

Zhehao Jia; Yukun Shi; Cheng Yan; Meryem Duygun. 2019. "Bankruptcy prediction with financial systemic risk." The European Journal of Finance 26, no. 7-8: 666-690.

Journal article
Published: 15 April 2019 in Pacific-Basin Finance Journal
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Using a sample of U.S. and Chinese stocks between July 1999 and June 2016, we investigate the pricing role of informational inefficiency in stock markets. We find that the relations between returns and the informational inefficiency factor statistically change from significantly positive, to insignificant, and further to significantly negative as informational efficiency increases. This finding provides new insights into the common belief that emerging markets are less efficient than developed markets. We propose new factor models for less efficient markets. Our conclusions are robust to alternative ways of sorting portfolios, to various subsample analyses, and to alternative factor models.

ACS Style

Baochen Yang; Fangzhan Xue; Yunpeng Su; Cheng Yan. Is informational inefficiency priced in stock markets? A comparison between the U.S. and Chinese cases. Pacific-Basin Finance Journal 2019, 55, 222 -238.

AMA Style

Baochen Yang, Fangzhan Xue, Yunpeng Su, Cheng Yan. Is informational inefficiency priced in stock markets? A comparison between the U.S. and Chinese cases. Pacific-Basin Finance Journal. 2019; 55 ():222-238.

Chicago/Turabian Style

Baochen Yang; Fangzhan Xue; Yunpeng Su; Cheng Yan. 2019. "Is informational inefficiency priced in stock markets? A comparison between the U.S. and Chinese cases." Pacific-Basin Finance Journal 55, no. : 222-238.

Journal article
Published: 25 January 2019 in Journal of Empirical Finance
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The idea of determining the number of fund subgroups is of central importance in the currently popular academic field of Risk Parity Portfolio Theory, and especially for practitioners’ direct use of Funds-of-Funds (FoF) managers. Can the Gaussian Mixture Distributions plug- in approach via traditional procedures select the right number of fund subgroups? Probably not. According to our in-sample/out-of-sample likelihood score analysis, the actual locations of subgroups in real data (of both U.S. mutual funds and hedge funds) are too close to each other. The information loss incurred by parameter uncertainty outweigh those incurred by mis-specification, and can only be slightly alleviated using the nonparametric density estimators. An arbitrary choice of two subgroups only causes affordable information loss relative to more fund subgroups. These findings challenge the reliability of the Gaussian Mixture Distributions plug-in approach via traditional procedures (e.g., BIC, Likelihood Ratio and Chi-square statistics) in selecting the correct number of subgroups.

ACS Style

Cheng Yan; Tingting Cheng. In search of the optimal number of fund subgroups. Journal of Empirical Finance 2019, 50, 78 -92.

AMA Style

Cheng Yan, Tingting Cheng. In search of the optimal number of fund subgroups. Journal of Empirical Finance. 2019; 50 ():78-92.

Chicago/Turabian Style

Cheng Yan; Tingting Cheng. 2019. "In search of the optimal number of fund subgroups." Journal of Empirical Finance 50, no. : 78-92.

Withdrawal
Published: 31 October 2018 in Journal of Futures Markets
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This paper proposes a general but tractable approach to price volatility derivatives which includes most existing stochastic volatility models as special cases. Specifically, we use the generalized beta prime distribution to model the dynamics of the volatility underlying, which is flexible enough to capture the empirical marginal density function and yield desired implied volatility slope consistent with empirical data. Based on that, we use a Jacobi process to add a diffusion component, and further extend our model through stochastic time changes to capture jumps as well as to accommodate the term structure of volatility index futures. Our approach is supported by calibrations.

ACS Style

Cheng Yan; Bo Zhao. Withdrawn: A general jump‐diffusion process to price volatility derivatives. Journal of Futures Markets 2018, 39, 15 -37.

AMA Style

Cheng Yan, Bo Zhao. Withdrawn: A general jump‐diffusion process to price volatility derivatives. Journal of Futures Markets. 2018; 39 (1):15-37.

Chicago/Turabian Style

Cheng Yan; Bo Zhao. 2018. "Withdrawn: A general jump‐diffusion process to price volatility derivatives." Journal of Futures Markets 39, no. 1: 15-37.

Journal article
Published: 29 September 2018 in Journal of Empirical Finance
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In this paper, we develop a nonparametric methodology for estimating and testing time-varying fund alphas and betas as well as their long-run counterparts (i.e., their time-series averages). Traditional linear factor model arises as a special case without time variation in coefficients. Monte Carlo simulation evidence suggests that our methodology performs well in finite samples. Applying our methodology to U.S. mutual funds and hedge funds, we find most fund alphas decrease with time. Combining our methodology with the bootstrap method which controls for ‘luck’, positive long-run alphas of mutual funds but hedge funds disappear, while negative long-run alphas of both mutual and hedge funds remain. We further check the robustness of our results by altering benchmarks, fund skill indicators and samples.

ACS Style

Biqing Cai; Tingting Cheng; Cheng Yan. Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds. Journal of Empirical Finance 2018, 49, 81 -106.

AMA Style

Biqing Cai, Tingting Cheng, Cheng Yan. Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds. Journal of Empirical Finance. 2018; 49 ():81-106.

Chicago/Turabian Style

Biqing Cai; Tingting Cheng; Cheng Yan. 2018. "Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds." Journal of Empirical Finance 49, no. : 81-106.

Journal article
Published: 01 September 2018 in Journal of International Financial Markets, Institutions and Money
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We compare the performance of two state-of-the-art predictive regression methods of IVX-Wald (Kostakis et al., 2015), IVX-Quantile regression (Lee, 2016) with the traditional OLS in examining the relationship between foreign equity flows and emerging stock market returns. By doing so, we take into account not only the potential persistence in foreign equity flows, but also the exceptional behavior of the extreme foreign flow episodes. We find a robust positive relationship between equity flows and contemporaneous stock returns among emerging stock markets (especially in Asia), but little evidence for intertemporal return predictability.

ACS Style

Cheng Yan; Xichen Wang. The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles. Journal of International Financial Markets, Institutions and Money 2018, 56, 38 -54.

AMA Style

Cheng Yan, Xichen Wang. The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles. Journal of International Financial Markets, Institutions and Money. 2018; 56 ():38-54.

Chicago/Turabian Style

Cheng Yan; Xichen Wang. 2018. "The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles." Journal of International Financial Markets, Institutions and Money 56, no. : 38-54.

Original article
Published: 14 April 2018 in Financial Markets, Institutions & Instruments
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It has become standard practice in the fund performance evaluation literature to use the bootstrap approach to distinguish “skills” from “luck”, while its reliability has not been subject to rigorous statistical analysis. This paper reviews and critiques the bootstrap schemes used in the literature, and provides a simulation analysis of the validity and reliability of the bootstrap approach by applying it to evaluating the performance of hypothetical funds under various assumptions. We argue that this approach can be misleading, regardless of using alpha estimates or their t‐statistics. While alternative bootstrap schemes can result in improvements, they are not foolproof either. The case can be worse if the benchmark model is misspecified. It is therefore only with caution that we can use the bootstrap approach to evaluate the performance of funds and we offer some suggestions for improving it.

ACS Style

Huazhu Zhang; Cheng Yan. A skeptical appraisal of the bootstrap approach in fund performance evaluation. Financial Markets, Institutions & Instruments 2018, 27, 49 -86.

AMA Style

Huazhu Zhang, Cheng Yan. A skeptical appraisal of the bootstrap approach in fund performance evaluation. Financial Markets, Institutions & Instruments. 2018; 27 (2):49-86.

Chicago/Turabian Style

Huazhu Zhang; Cheng Yan. 2018. "A skeptical appraisal of the bootstrap approach in fund performance evaluation." Financial Markets, Institutions & Instruments 27, no. 2: 49-86.

Research papers
Published: 19 January 2018 in Quantitative Finance
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We derive a closed-form appraisal/information ratio of the investors who are able to observe some information about security fundamentals, by solving a simple instantaneous mean-variance portfolio choice problem in a continuous-time framework. Both analytical and numerical results suggest that investors should choose securities with a more volatile mispricing, a less volatile fundamental, a higher mean-reverting speed and a larger dividend. Our model calibrated with realistic parameters easily outperforms top-percentile portfolio managers in reality, which suggests that the implementation of fundamental analysis may be impeded in practice due to limits of arbitrage. Our paper is a first, necessarily simple, step towards filling the gap of modelling fundamental analysis in portfolio selection.

ACS Style

Huazhu Zhang; Cheng Yan. Modelling fundamental analysis in portfolio selection. Quantitative Finance 2018, 18, 1315 -1326.

AMA Style

Huazhu Zhang, Cheng Yan. Modelling fundamental analysis in portfolio selection. Quantitative Finance. 2018; 18 (8):1315-1326.

Chicago/Turabian Style

Huazhu Zhang; Cheng Yan. 2018. "Modelling fundamental analysis in portfolio selection." Quantitative Finance 18, no. 8: 1315-1326.