
iv
TABLE OF CONTENT
DECLARATION .....................................................................................................................................I
ACKNOWLEDGEMENT..................................................................................................................... II
ABSTRACT..........................................................................................................................................III
TABLE OF CONTENT........................................................................................................................IV
LIST OF TABLES................................................................................................................................. V
LIST OF FIGURES............................................................................................................................ VII
CHAPTER 1 INTRODUCTION....................................................................................................... 1
1.1 INTRODUCTION OF FUND INVESTMENT IN HONG KONG............................................................. 1
1.2 OVERVIEW OF MANDATORY PROVIDENT FUNDS IN HONG KONG .............................................. 2
1.3 RESEARCH MOTIVES ............................................................................................................... 5
1.4 RESEARCH OBJECTIVES........................................................................................................... 7
1.5 SCOPE OF THE STUDY .............................................................................................................. 7
1.6 LIMITATIONS OF THE STUDY.................................................................................................... 7
1.7 ORGANIZATION OF THE THESIS ................................................................................................ 8
CHAPTER 2 LITERATURE REVIEW ........................................................................................... 9
2.1 ASSET PRICING MODELS .......................................................................................................... 9
2.2 FUND PERFORMANCE ............................................................................................................ 20
2.3 SURVIVORSHIP BIAS .............................................................................................................. 31
2.4 RETURN PERSISTENCE ........................................................................................................... 38
2.5 MARKET TIMING ABILITY ...................................................................................................... 55
CHAPTER 3 PERFORMANCE OF MPF EQUITY FUNDS ........................................................ 72
3.1 INTRODUCTION ..................................................................................................................... 72
3.2 RESEARCH METHODOLOGIES ................................................................................................. 73
3.3 DATA ................................................................................................................................... 83
3.4 EMPIRICAL RESULTS.............................................................................................................. 87
3.5 CONCLUSIONS....................................................................................................................... 97
CHAPTER 4 PERFORMANCE PERSISTENCE OF MPF EQUITY FUNDS ........................... 100
4.1 INTRODUCTION ................................................................................................................... 100
4.2 RESEARCH METHODOLOGY.................................................................................................. 102
4.3 DATA ................................................................................................................................. 108
4.4 EMPIRICAL RESULTS OF PERFORMANCE PERSISTENCE ........................................................... 108
4.5 FURTHER ANALYSIS OF PERFORMANCE PERSISTENCE ............................................................ 113
4.6 CONCLUSIONS..................................................................................................................... 120
CHAPTER 5 MARKET TIMING OF MPF EQUITY FUNDS.................................................... 123
5.1 INTRODUCTION ................................................................................................................... 123
5.2 RESEARCH METHODOLOGY: IDENTIFICATION OF MARKET TIMING OF EQUITY FUNDS .............. 124
5.3 DATA ................................................................................................................................. 131
5.4 EMPIRICAL RESULTS: IDENTIFICATION OF MARKET TIMING OF EQUITY FUNDS........................ 132
5.5 CONCLUSIONS..................................................................................................................... 138
CHAPTER 6 CONCLUSION AND IMPLICATIONS................................................................. 140
6.1 CONCLUDING REMARKS ...................................................................................................... 140
6.2 DIRECTIONS FOR FUTURE RESEARCHES ................................................................................ 142
APPENDIX A: TABLES.................................................................................................................... 145
APPENDIX B: FIGURES .................................................................................................................. 213
BIBLIOGRAPHY............................................................................................................................... 215