Follow the smart money: Factor forecasting in China ...
· Table 1 shows that the size factor, SMB_FF, constructed using the same methodology as that of Fama and French ... Our results show that in China, stock mutual funds serve as smart money, as they are able to profitably exploit the size factor's timeseries variation. Edelen et al. (2016) examine demand prior to wellknown stock return anomalies and find that institutional investors have a ...