We present novel evidence of factor timing in the Chinese stock market. Actively managed Chinese stock mutual funds have larger exposure on the size factor when it performs well and smaller exposure when it performs poorly. By constructing a proxy for the size preference of active stock funds,...

Long-short factors and industry portfolios in the Chinese A-share stock market tend to have higher returns the months following high volatility. Due to this positive relationship between lagged volatility and returns, volatility-managed portfolios of Moreira and Muir (2017) do not work well in...