TITLE:
An Empirical Research on the Funds Managers’ Skill and Accrual Quality Risk Premium: The Evidence from China
AUTHORS:
Qian Yang
KEYWORDS:
Accrual Quality, Excess Return, Skill
JOURNAL NAME:
Open Journal of Business and Management,
Vol.6 No.2,
April
26,
2018
ABSTRACT: This paper explores the impact of accrual quality information on fund investment
decisions, and examines whether fund managers can use the stock’s
accrual quality information to obtain excess returns, and the difference in
fund manager’s skill to influence the extent of the fund’s excess returns. This
paper uses the annual observations of 2851 Chinese funds, from 2005 to 2016
to analyze the fund manager’s stock investment decision. The results show
that in China capital market, there is a risk premium for accrual quality, and
fund managers can obtain excess returns through selecting stocks with poor
accrual quality. And fund managers with better skill, can obtain more excess
returns.