Can mutual fund investors benefit from volatility managing? Evidence from China
X Zhang, Y Zheng, D Lien, X Yu - Pacific-Basin Finance Journal, 2024 - Elsevier
Using a comprehensive sample of Chinese mutual funds from 2004 to 2021, we find strong
evidence that managing the intertemporal total (downside) risk of actively managed equity …
evidence that managing the intertemporal total (downside) risk of actively managed equity …
The value-growth premium in a time-varying risk return framework
In recent years, growth firms outperformed value firms, which led investors to doubt value
strategy in their investments. Reworking the Euler equation shows that time-varying risk is …
strategy in their investments. Reworking the Euler equation shows that time-varying risk is …
Volatility-managed portfolios in the Chinese equity market
C Wang, J Li - Pacific-Basin Finance Journal, 2024 - Elsevier
This paper examines the effectiveness of the volatility-timing strategy in the Chinese equity
market. We find that the volatility-managed portfolio (VMP) consistently outperforms its …
market. We find that the volatility-managed portfolio (VMP) consistently outperforms its …
Research on the effectiveness of the volatility–tail risk-managed portfolios in China's market
Z Guo, Y Li, G Jia - Empirical Economics, 2024 - Springer
This paper attempts to extend the approach of quantitative investment and provide investors
with suggestions about volatility timing. Based on the volatility-managed portfolios strategy …
with suggestions about volatility timing. Based on the volatility-managed portfolios strategy …
The role of implied volatility in volatility combining forecasts
This study explores the role of implied volatility (IV) in volatility combining forecasts for S&P
500 and DAX markets. A range of GARCH models, ad hoc models and STES models were …
500 and DAX markets. A range of GARCH models, ad hoc models and STES models were …