Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/92482
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dc.contributorSchool of Accounting and Financeen_US
dc.contributorDepartment of Management and Marketingen_US
dc.creatorCai, Len_US
dc.creatorJin, Yen_US
dc.creatorQi, Qen_US
dc.creatorXu, Xen_US
dc.date.accessioned2022-04-07T06:32:30Z-
dc.date.available2022-04-07T06:32:30Z-
dc.identifier.issn0003-6846en_US
dc.identifier.urihttp://hdl.handle.net/10397/92482-
dc.language.isoenen_US
dc.publisherRoutledge, Taylor & Francis Groupen_US
dc.rights© 2018 Hong Kong Polytechnic Universityen_US
dc.rightsThis is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 29 Jun 2018 (Published online), available at: http://www.tandfonline.com/10.1080/00036846.2018.1489113.en_US
dc.subjectChinese A-share marketen_US
dc.subjectSmart beta strategiesen_US
dc.subjectValue-weighted indexen_US
dc.titleA comprehensive study on smart beta strategies in the A-share marketen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage6024en_US
dc.identifier.epage6033en_US
dc.identifier.volume50en_US
dc.identifier.issue55en_US
dc.identifier.doi10.1080/00036846.2018.1489113en_US
dcterms.abstractIn this article, we explore how smart beta strategies are applied in the Chinese A-share market. Specifically, we empirically examine several popular smart beta strategies, including mean-variance optimization, minimum-variance portfolio, equal weighting, risk parity strategy, and fundamental indexation, and we do so using the Shanghai Stock Exchange (SSE) 50 index and SSE sector indices as our comparison benchmarks. We find that all smart beta strategies outperform these benchmarks from year 2006 to year 2015, and that all smart beta strategies outperform the SSE 50 index by an average of 2.57% per year. In turn, these strategies improve the Sharpe Ratio by 46.2% on average.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationApplied economics, 2018, v. 50, no. 55, p. 6024-6033en_US
dcterms.isPartOfApplied economicsen_US
dcterms.issued2018-
dc.identifier.scopus2-s2.0-85049153215-
dc.identifier.eissn1466-4283en_US
dc.description.validate202204 bcfcen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumberRGC-B1-061, AF-0117en_US
dc.description.fundingSourceRGCen_US
dc.description.pubStatusPublisheden_US
Appears in Collections:Journal/Magazine Article
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