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We show that Chinese actively managed stock mutual funds persistently exhibit a preference for growth stocks over value stocks, despite the fact that value stocks outperform growth stocks on average. Moreover, funds with a growth tilt do not under-perform their value-oriented peer funds. To...
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, with similar intensity as of in the USA, UK and German markets …
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occur in what we term “panic” states – following market declines and when market volatility is high, and are contemporaneous … momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility …
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