Does the Bull Market Have “Buffett”?—An Empirical Study on Chinese Mutual Fund Value Investing in Bull and Bear Markets

摘要

“Worshipping value investing in the bear market and everyone is ‘Buffett’ in the bull market” is a general impression of China’s stock market. This article uses the open-end fund holdings data from 2006 to 2015 to test whether the investment behavior of fund consistent with value investing both in the bear market and the bull market. This paper finds that the stock with higher fund holdings in the bear market is positively related to the next quarter and the next year’s unexpected earnings, but not in the bull market. At the same time, similar conclusions have been drawn from further analysis of the new-in and new-out investment behaviors. Overall, this paper demonstrates that “the bear market follows the value investment, while the bull market ignores the value investment” has some truths.