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A modeling study of the Chinese inve...

Wang, Tiefeng.

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A modeling study of the Chinese investment fund pricing and performance assessment.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	A modeling study of the Chinese investment fund pricing and performance assessment./
Author:	Wang, Tiefeng.
Description:	383 p.
Notes:	Advisers: Kami Rewegasira; Herman Daems.
Contained By:	Dissertation Abstracts International64-03A.
Subject:	Business Administration, Banking. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3085882

A modeling study of the Chinese investment fund pricing and performance assessment.
Wang, Tiefeng.

A modeling study of the Chinese investment fund pricing and performance assessment. - 383 p.

Advisers: Kami Rewegasira; Herman Daems.

Thesis (D.B.A.)--Maastricht School of Management (The Netherlands), 2002.

Overall, this study emphasizes the point of view that western finance theories can only be applied with caution in emerging markets like China. (Abstract shortened by UMI.)Subjects--Topical Terms:

1018458
Business Administration, Banking.

A modeling study of the Chinese investment fund pricing and performance assessment.
LDR:03974nam 2200349 a 45 001 935804
005 20110510
008 110510s2002 eng d
035 $a (UnM)AAI3085882
035 $a AAI3085882
040 $a UnM $c UnM
100 1 $a Wang, Tiefeng. $3 1259507
245 1 0 $a A modeling study of the Chinese investment fund pricing and performance assessment.
300 $a 383 p.
500 $a Advisers: Kami Rewegasira; Herman Daems.
500 $a Source: Dissertation Abstracts International, Volume: 64-03, Section: A, page: 1016.
502 $a Thesis (D.B.A.)--Maastricht School of Management (The Netherlands), 2002.
520 $a Overall, this study emphasizes the point of view that western finance theories can only be applied with caution in emerging markets like China. (Abstract shortened by UMI.)
520 $a In China, due to the limited number and history of investment funds, very few studies have been undertaken on the study of fund pricing. There are no research publications in China discussing close-end fund pricing in particular. Since all investment funds in China are close-end funds, it is very important to study the price models of close-end funds in China. Although informal discussions are taking place among investment management professionals in China, no systematic and scientific studies have been carried out to investigate the factors that determine the prices of close-end funds. This study attempts to fill in this gap by seeking to find out which models are likely to work in the pricing and performance assessment of funds in this young capital market.
520 $a The major research question in this study is: What factors cause or influence the fund price changes and more specifically in this case, cause the fund price to increase? Is it the fund net value growth rate and the fund discount level that influence the fund price increase rate in the Chinese Capital Market?
520 $a The minor research questions are: (1) What factors cause changes in the fund discount level? Is it the fund scale and the fund holding/ownership concentration that influence the fund discount level in the Chinese Capital Market? (2) What factors influence the fund net value growth rate? Does the price of the stock that the fund holds influence the fund net value growth rate in the Chinese Capital Market? (3) What is the fund risk? How and why can one estimate the risk performance of investment funds in China?
520 $a On the basis of the literature overview, this research uses the theories of the Multiple Factors Model, the Arbitrage Pricing Model, the Regression Model, the Investment Value, the Capital Asset Pricing Model & the Risk Performance Model; the research uses research methods of the correlation & regression analysis to test the latest foreign theories in the Chinese Capital Market; this research uses the finance and transaction data that comes from the Chinese Capital Market in the period 2000 and 2001.
520 $a Through discussion and correlation & regression analysis, the research suggests the four modeling studies of the Chinese investment funds: the fund price increase model, the fund discount level model, the fund net-value growth model and the fund risk performance model.
520 $a In conclusion, this research demonstrates that based on the fund price increase model, the fund net value growth model and the fund discount level model, the fund price increase rate can be calculated, and that by using Treynor and Sharpe indices, one can select the funds for investment in order to achieve the highest possible returns whilst avoiding high risks.
590 $a School code: 1390.
650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Economics, Finance. $3 626650
690 $a 0508
690 $a 0770
710 2 0 $a Maastricht School of Management (The Netherlands). $3 1256660
773 0 $t Dissertation Abstracts International $g 64-03A.
790 $a 1390
790 1 0 $a Daems, Herman, $e advisor
790 1 0 $a Rewegasira, Kami, $e advisor
791 $a D.B.A.
792 $a 2002
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3085882