Advances in Economics, Management and Political Sciences
- The Open Access Proceedings Series for Conferences
Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
Series Vol. 57 , 05 January 2024
Open
Access | Article
Style Drift and Performance Evaluation of Green Funds in China
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Abstract
Based on data of China's open equity and partial equity hybrid green funds from 2018 to 2022, this paper conducts the sharp style analysis model to construct green fund style drift indicator, and apply the TM model to construct stock selection and timing indicators. Moreover, this paper constructs a panel fixed-effect model to empirically analyze the impact of green fund style drift, stock selection and timing on green fund performance. This research finds that there is a drift of investment style in green funds. Such style drift and timing have a negative impact on the performance of green funds. Stock selection has a significant positive impact on green funds. Furthermore, this research introduces style drift, stock selection and timing indicators into green fund performance evaluation, and use principal component analysis method to build a green fund performance-evaluation system. Then, this paper applies the rating system to the existing green fund market and effectively supplements the existing rating system.
Keywords
green fund, style drift, stock selection and timing, principal component analysis, performance evaluation
References
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Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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- Volume Title
- Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
- ISBN (Print)
- 978-1-83558-205-3
- ISBN (Online)
- 978-1-83558-206-0
- Published Date
- 05 January 2024
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/57/20230528
- Copyright
- 05 January 2024
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited