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All Outputs (9)

A skeptical appraisal of the bootstrap approach in fund performance evaluation (2018)
Journal Article
Zhang, H., & Yan, C. (2018). A skeptical appraisal of the bootstrap approach in fund performance evaluation. Financial Markets, Institutions and Instruments, 27(2), 49-86. https://doi.org/10.1111/fmii.12093

It has become standard practice in the fund performance evaluation literature to use the bootstrap approach to distinguish “skills” from “luck”, while its reliability has not been subject to rigorous statistical analysis. This paper reviews and criti... Read More about A skeptical appraisal of the bootstrap approach in fund performance evaluation.

Modeling fundamental analysis into portfolio selection (2018)
Journal Article
Zhang, H., & Yan, C. (2018). Modeling fundamental analysis into portfolio selection. Quantitative Finance, 18(8), 1315-1326. https://doi.org/10.1080/14697688.2017.1418520

We derive a closed-form appraisal/information ratio of the investors who are able to observe some information about security fundamentals, by solving a simple instantaneous mean-variance portfolio choice problem in a continuous-time framework. Both a... Read More about Modeling fundamental analysis into portfolio selection.

Hot Money in disaggregated capital flows (2017)
Journal Article
Yan, C. (2018). Hot Money in disaggregated capital flows. European Journal of Finance, 29(2), 242-261. https://doi.org/10.1080/1351847x.2017.1411821

We explore the possible existence and behavior of hot money in six categories of disaggregated bilateral capital flows (equity inflows, equity outflows, bond inflows, bond outflows, banking credit inflows, and banking credit outflows) for 12 emerging... Read More about Hot Money in disaggregated capital flows.

Evaluating the size of the bootstrap method for fund performance evaluation (2017)
Journal Article
Cheng, T., & Yan, C. (2017). Evaluating the size of the bootstrap method for fund performance evaluation. Economics Letters, 156, 36-41. https://doi.org/10.1016/j.econlet.2017.03.028

We investigate the validity and reliability of the bootstrap approach in fund performance evaluation by gauging the size. Monte Carlo simulations suggest that cross-sectional dependence may alter the size of this test and we propose a new panel boots... Read More about Evaluating the size of the bootstrap method for fund performance evaluation.

Mean-Variance versus Naïve Diversification: The Role of Mispricing (2016)
Journal Article
Yan, C., & Zhang, H. (2017). Mean-Variance versus Naïve Diversification: The Role of Mispricing. Journal of International Financial Markets, Institutions and Money, 48, 61-81. https://doi.org/10.1016/j.intfin.2016.12.005

We compare the equal-weight naïve 1/N portfolio with mean-variance strategies from the perspective of mispricing (alpha) and provide three new findings. First, we analytically show that the 1/N rule approaches the ex ante mean-variance efficient port... Read More about Mean-Variance versus Naïve Diversification: The Role of Mispricing.

On cross-border bank credit and the U.S. financial crisis transmission to equity markets (2016)
Journal Article
Yan, C., Phylaktis, K., & Fuertes, A. (2016). On cross-border bank credit and the U.S. financial crisis transmission to equity markets. Journal of International Money and Finance, 69, 108-134. https://doi.org/10.1016/j.jimonfin.2016.06.014

This paper examines the role played by cross-border equity, bond and bank credit flows versus international trade in the transmission of the U.S. financial crisis to equity markets worldwide. We estimate vector autoregressive models with exogenous gl... Read More about On cross-border bank credit and the U.S. financial crisis transmission to equity markets.

Foreign Investors in Emerging Equity Markets: Currency Effect Perspective (2015)
Journal Article
Yan, C. (2015). Foreign Investors in Emerging Equity Markets: Currency Effect Perspective. The journal of investment consulting, 16(1), 43-72

This paper takes a perspective from foreign exchange (FX) to investigate the daily trading behavior and price impact of foreign investors in six Asian emerging equity markets over the past two decades. It exploits the unsolved interrelationship betwe... Read More about Foreign Investors in Emerging Equity Markets: Currency Effect Perspective.

Hot money in bank credit flows to emerging markets during the banking globalization era (2014)
Journal Article
Fuertes, A., Phylaktis, K., & Yan, C. (2016). Hot money in bank credit flows to emerging markets during the banking globalization era. Journal of International Money and Finance, 60, 29-52. https://doi.org/10.1016/j.jimonfin.2014.10.002

This paper investigates the relative importance of hot money in bank credit and portfolio flows from the US to 18 emerging markets over the period 1988–2012. We deploy state-space models à la Kalman filter to identify the unobserved hot money as the... Read More about Hot money in bank credit flows to emerging markets during the banking globalization era.