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The Journal of Portfolio Management

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Article

Asset Allocation in the Chinese Stock Market: The Role of Return Predictability

Jian Chen, Fuwei Jiang and Jun Tu
The Journal of Portfolio Management Special China Issue 2015, 41 (5) 71-83; DOI: https://doi.org/10.3905/jpm.2015.41.5.071
Jian Chen
is an assistant professor of finance at the School of Economics and Fujian Key Laboratory of Statistical Sciences, Xiamen University, in Xiamen, China.
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  • For correspondence: jchenl@xmu.edu.cn
Fuwei Jiang
is an assistant professor of finance at Central University of Finance and Economics’s School of Finance in Beijing, China.
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  • For correspondence: jfuwei@gmail.com
Jun Tu
is an associate professor of finance at Singapore Management University’s Lee Kong Chian Business School in Singapore.
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  • For correspondence: tujun@smu.edu.sg
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Abstract

In this article the authors investigate asset allocation in the Chinese stock market from the perspective of incorporating return predictability. Based on a host of return predictors, they find significant out-of-sample return predictability in the Chinese stock market. They then examine the performance of active portfolio strategies—such as aggregate market timing as well as industry, size, and value-rotation strategies—designed to profitably exploit return predictability. Strong evidence is found by the authors that these portfolio strategies incorporating return predictability can deliver superior performance—up to 600 basis points per annum and almost double the Sharpe ratios—compared with the passive buy-and-hold benchmarks that ignore return predictability.

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The Journal of Portfolio Management: 41 (5)
The Journal of Portfolio Management
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Special China Issue 2015
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Asset Allocation in the Chinese Stock Market: The Role of Return Predictability
Jian Chen, Fuwei Jiang, Jun Tu
The Journal of Portfolio Management Jan 2015, 41 (5) 71-83; DOI: 10.3905/jpm.2015.41.5.071

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Asset Allocation in the Chinese Stock Market: The Role of Return Predictability
Jian Chen, Fuwei Jiang, Jun Tu
The Journal of Portfolio Management Jan 2015, 41 (5) 71-83; DOI: 10.3905/jpm.2015.41.5.071
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  • Article
    • Abstract
    • ASSET ALLOCATION STRATEGY
    • FORECAST CONSTRUCTION
    • DATA
    • OUT-OF-SAMPLE FORECASTING PERFORMANCE
    • MARKET TIMING PORTFOLIO PERFORMANCE
    • COMPONENT ROTATION PORTFOLIO PERFORMANCE
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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