Study of Chinese Open-end Funds Performance Evaluation on the Conditional Asymmetric Response Model

摘要

This paper builds the conditional asymmetric response model, which aims to erase the bias of the traditional models. The samples are Chinese open-end funds. The paper proves the effect of our model using panel data model. The conclusion is that Chinese funds managers have not the micro-ability to stock selecting, but they have the macro-ability to market timing.