An empirical study on the closed-end funds performance in China using conditional measures

Most studies of fund performance use unconditional measures that are susceptible to bias caused by common time variation in risks and risk premia. We evaluate the closed-end fund performance of China using information variables that has produced new insight about empirical analysis of the fund performance in China. The results indicate the trading, volume from China stock exchange is better conditioning information, the performance evaluation using information variables: trading volume, Jensen alpha as are higher when estimated with the conditional model, and the number of significant timing coefficients is greatly reduced.