Mutual Fund Manager Forecasting Behavior

I examine publicly released annual earnings forecasts issued in conjunction with stock recommendations by mutual fund managers of actively managed open-end mutual funds. I find that mutual fund manager annual earnings forecasts systematically overestimate the earnings number later disclosed at the annual earnings announcement. In further analyses, I attempt to distinguish between two explanations for this forecast bias: an untruthful reporting bias (market manipulation) and a truthful cognitive bias (optimism). These explanations generate different predictions about the timing of changes in fundholdings of forecasted securities between the forecast release and annual earnings announcement dates. I interpret my findings as more consistent with an optimism explanation for mutual fund manager annual forecast bias and less consistent with a market manipulation explanation for this bias. I am, however, unable to eliminate an unobservable selection bias either in the decision of the mutual fund manager to report a forecast publicly or in the media's decision to publish that forecast as an explanation for my finding that mutual fund manager forecasts are biased.     

Mandatory Portfolio Disclosure,Stock Liquidity,and Mutual Fund Performance

We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the May 2004 SEC regulation requiring more frequent disclosure. Stocks with higher fund ownership, especially those held by more informed funds or subject to greater information asymmetry, experience larger increases in liquidity after the regulation change. More informed funds, especially those holding stocks with greater information asymmetry, experience greater performance deterioration after the regulation change. Overall, mandatory disclosure improves stock liquidity but imposes costs on informed investors.     

Public versus Private Ownership and Fund Manager Turnover

We examine the correlation between organizational structure (public vs. private) and managerial turnover in a large sample of United States offered mutual funds. Consistent with the hypothesis that publicly traded and privately held firms have different incentive structures and, as such, should differ in their treatment of internal control mechanisms, we find that public sponsors are more sensitive to prior fund performance when making replacement decisions and experience smaller post turnover performance improvements. Additional testing suggests a greater likelihood of fund manager replacement when mutual funds are team managed and when fund boards are more independent.     

基金管理公司股权结构与基金绩效研究

本研究采用2004～2010年期间的开放式股票型基金为样本,应用Carhart的四因子模型作为衡量基金投资质量与绩效的评价指标,以基金管理公司的股权结构为切入点,研究基金管理公司组织与股权结构对旗下基金绩效的影响。在控制了基金特征和基金经理特征后,我们发现国有控股和中外合资基金管理公司旗下的基金绩效较好。表明我国基金行业存在国有资本的帮助之手效应;此外,外资参股有利于提高基金业绩。     

Mutual Fund Family Size and Mutual Fund Performance: The Role of Regulatory Changes

We examine whether the previously documented positive association between fund family size and fund performance is affected by significant regulatory changes (i.e., Regulation Fair Disclosure (Reg FD), the Global Settlement (GS), and increased scrutiny as a result of trading scandals) that have occurred in the last decade. Using Reg FD as a beginning point for these structural changes, we find that, while fund family size was positively associated with fund performance in the period prior to the regulatory changes, this advantage is significantly weaker in the period subsequent to the regulatory changes. Consistent with the weakened advantage of fund family size in fund performance, we find that the greater stock‐picking skill of larger fund families, measured using the earnings announcement returns of the stocks they trade, also weakened subsequent to the regulatory changes. Using narrower event windows around the regulatory changes, we find that the previously documented superior return of large fund families was partly attributable to selective disclosure. We also find that fund families implicated in the trading scandals experienced a decline in their performance during the scandal period. Finally, we examine the role of large investment banks in providing an advantage to large fund families. Family size was positively associated with the extent to which funds traded in the same direction as forecast revisions by analysts from large investment banks in the period prior to Reg FD and the GS and this association declined significantly after the two regulatory events.     

Short-Term Persistence in Mutual Fund Performance

We estimate parameters of standard stock selection and markettiming models using daily mutual fund returns and quarterlymeasurement periods. We then rank funds quarterly by abnormalreturn and measure the performance of each decile the followingquarter. The average abnormal return of the top decile in thepost-ranking quarter is 39 basis points. The post-ranking abnormalreturn disappears when funds are evaluated over longer periods.These results suggest that superior performance is a short-livedphenomenon that is observable only when funds are evaluatedseveral times a year.     

Dedicated REIT Mutual Fund Flows and REIT Performance

This study examines the effects of weekly and monthly capital flows into the dedicated REIT mutual fund sector on aggregate REIT returns and, simultaneously, the effects of industry-level REIT returns on subsequent REIT mutual fund flows. The dynamic relation between REIT capital flows and returns is estimated using vector autoregression (VAR) techniques. Unlike static regression techniques, our dynamic model produces estimates of the short-run relationships, long-run relationships, impulse response functions, and forecast variance decompositions. We find evidence that REIT mutual fund flows are positively and significantly related to prior returns, while prior REIT mutual fund flows do not significantly influence REIT returns. However, contemporaneous flows do appear to have an initial positive effect, which is partially reversed one period later. The positive contemporaneous effect, however, is the result of unexpected REIT mutual fund flows, while the expected portion is insignificant.     

投资者保护和基金投资业绩

本文从基金持仓股特征出发,研究了上市公司投资者保护与基金投资业绩的关系。由于投资者保护影响公司的盈利能力以及投资者获取信息的难易程度,基金在投资时更加偏好于投资者保护好的上市公司的股票。使用我国上市公司基金持股比例的数据,本文证实了这一结论。更为重要的是,本文发现对于有能力的基金,他们会投资于投资者保护比较差的上市公司的股票,从而获得更高的投资业绩。     

Mutual Fund Performance: Measurement and Evidence1

The paper provides a critical review of empirical findings on the performance of mutual funds, mainly for the US and UK. Ex‐post, there are around 0‐5% of top performing UK and US equity mutual funds with truly positive‐alpha performance (after fees) and around 20% of funds that have truly poor alpha performance, with about 75% of active funds which are effectively zero‐alpha funds. Key drivers of relative performance are, load fees, expenses and turnover. There is little evidence of successful market timing. Evidence suggests past winner funds persist, when rebalancing is frequent (i.e., less than one year) and when using sophisticated sorting rules (e.g., Bayesian approaches) ‐ but transactions costs (load and advisory fees) imply that economic gains to investors from winner funds may be marginal. The US evidence clearly supports the view that past loser funds remain losers. Broadly speaking results for bond mutual funds are similar to those for equity funds. Sensible advice for most investors would be to hold low cost index funds and avoid holding past ‘active’ loser funds. Only sophisticated investors should pursue an active ex‐ante investment strategy of trying to pick winners ‐ and then with much caution.     

Mutual Fund Performance: Evidence from the UK

This paper uses a large sample containing the complete return histories of 2300 UK open-ended mutual funds over a 23-year period to measure fund performance. We find some evidence of underperformance on a risk-adjusted basis by the average fund manager, persistence of performance and the existence of a substantial survivor bias. Similar findings have been reported for US equity mutual funds. New findings not previously documented for other markets include evidence that mutual fund performance varies substantially across different asset categories, especially foreign asset categories. We also identify some new patterns in performance related to the funds' distance from their inception and termination dates: underperformance intensifies as the fund termination date approaches, while, in contrast, there is some evidence that funds (weakly) outperform during their first year of existence.     

Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows

We examine a sample of 294 mutual funds that are advertised in Barron's or Money magazine. The preadvertisement performance of these funds is significantly higher than that of the benchmarks. We test whether the sponsors select funds to signal continued superior performance or they use the past superior performance to attract more money into the funds. Our analysis shows that there is no superior performance in the postadvertisement period. Thus, the results do not support the signaling hypothesis. On the other hand, we find that the advertised funds attract significantly more money in comparison with a group of control funds.     

Performance Chasing,Fund Flows and Fund Size in Real Estate Mutual Funds

Real estate mutual funds have grown dramatically in number, size, scope and assets under management over the last 15 years, but little assessment is evident. The present study addresses this limitation. Better prior period performance is associated with greater shares of fund inflows for a period. Returns, however, are negatively associated with increased fund flows and fund size. Investors chase past performance limiting fund managers’ ability to optimize investments. Under normal market conditions, but departing from typical mutual fund performance, real estate mutual fund returns generally exceed relevant benchmarks on a before expenses basis and match benchmark returns after expenses. The ability to meet and exceed benchmark returns, however, does not hold during the financial crisis period. Overall, more established funds are shown to have higher returns while fund turnover is not a determinant of returns.     

Fund Manager Allocation

We show that fund families allocate their most skilled managers to market segments in which manager skill is rewarded best. In efficient markets, even skilled managers cannot generate excess returns. In less efficient markets, skilled managers can exploit inefficiencies and generate higher performance than unskilled managers. Fund families seem to be aware of the relation between skill, efficiency, and performance, and allocate more skilled managers to inefficient markets. They pursue this strategy when hiring new fund managers and when reassigning managers to funds within the family. Overall, we conclude that fund families allocate fund managers in an efficient way.     

An Intertemporal CAPM Approach to Evaluate Mutual Fund Performance

Merton (1973) and Campbell (1993) have demonstrated that if an investor anticipates information shifts, he will adjust his portfolio choice today in an attempt to hedge these shifts. Exploiting these insights, we construct a new performance measure to evaluate fund managers' hedging ability. This new measure is different from two widely adopted performance evaluation measures: securities selectivity and market timing. Moreover, an econometric methodology is developed to simultaneously estimate the magnitudes of these three portfolio performance evaluation measures. The results show that mutual fund managers are on average with positive security selection and negative market timing ability. Furthermore, the mutual funds with investment style classified as Asset Allocation generally have positive hedging timing ability.     

The Relation between Price and Performance in the Mutual Fund Industry

Gruber (1996) drew attention to the puzzle that investors buy actively managed equity mutual funds, even though on average such funds underperform index funds. We uncover another puzzling fact about the market for equity mutual funds: Funds with worse before-fee performance charge higher fees. This negative relation between fees and performance is robust and can be explained as the outcome of strategic fee-setting by mutual funds in the presence of investors with different degrees of sensitivity to performance. We also find some evidence that better fund governance may bring fees more in line with performance.     

社会责任基金：海外发展及其在中国的前景

从基金产业角度看，SRI基金以独特的投资标准，突破了传统单一的金融目标，追求金融与社会、环境目标的高度统一，实现了基金来源、基金投资、基金效果最广泛的社会性和长期性，为基金产业开辟了更广阔的发展空间。……     

Seasonality, Market Timing and Performance Amongst Benchmarks and Mutual Fund Evaluation

Abstract:  Mutual fund performance is normally measured by comparing results of active management with those obtained by one or several benchmarks that should represent the fund's investment. In this context, this paper examines the effect on mutual fund assessment if a relevant benchmark is omitted. This effect is analysed in three elements of active management: stock selection, market timing, and seasonality. The latter is defined as fund management at specific moments of time with the objective of achieving positive abnormal returns to improve performance. For a sample of Spanish mutual funds, we find that the omission of style benchmarks, particularly that corresponding to small-cap stocks, leads to greater evidence of negative market timing and positive seasonality at year beginning. However, the positive abnormal returns of the seasonality at year end, month end and especially at the beginning of July hold regardless of benchmark omission. The paper therefore also analyses the relation between performance and seasonality, finding that positive seasonality at year beginning and at July beginning improves performance; however, at other moments it implies a possible window dressing strategy in mutual fund management.