Asset allocation in the chinese stock market: The role of return predictability

• Main Authors: CHEN, Jian, JIANG, Fuwei, Jun TU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Chinese Stock Market; Asset Allocation; Return Predictability; Combination Forecast; Asian Studies; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/4775; https://ink.library.smu.edu.sg/context/lkcsb_research/article/5774/viewcontent/SSRN_id2774692.pdf
• Institution: Singapore Management University

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 perform...