Determinants of individual investment decisions in investment‐based crowdfunding

We investigate determinants of investment decisions in investment‐based (equity and bond) crowdfunding campaigns, using a novel investment‐, investor‐ and campaign‐level database, where equity refers to investments in entrepreneurial start‐ups and bonds to large real estate projects. We find that investors who have higher social interactions invest more. Social interactions are important in an equity crowdfunding context but do not affect participation in bond investments. This is consistent with the view that investors' social networks help reduce information asymmetry. Women invest less in the riskiest (equity) investments but more in safer ones (bonds). These findings are better explained by differences in risk aversion than differences in overconfidence between men and women. Overall, the findings contribute to the understanding of how investment‐based crowdfunding can be a viable source of entrepreneurial finance and how entrepreneurs' campaign decisions affect investor participation in this new form of entrepreneurial finance.     

Foreign institutional investors,information asymmetries,and asset valuation in emerging markets

This study investigates the effects of information asymmetries and asset valuation model differences (investor heterogeneity) between foreign and domestic investors on their distinct portfolio holdings in an emerging market setting. I argue that information asymmetry and investor heterogeneity views significantly interact in explaining the different asset allocation decisions of foreign and domestic investors. Employing a large dataset from Turkey, the findings suggest that both information asymmetry and investor heterogeneity view play a key role in explaining the investment decisions of different investor groups. Specifically, different from domestic investors, foreign investors are more likely to invest in firms with a higher global market performance which supports the investor heterogeneity view. However, this relationship only holds for firms with high information asymmetries. The difference in valuation models between foreign and domestic investors converge when asymmetric information problems between these investor groups weaken. This study contributes to the international finance literature by providing a new explanation of why foreign and domestic investors invest in different assets.     

Timing the investment grade securities market: Evidence from high quality bond funds

We examine the ability of bond fund managers to shift assets between bonds and cash and across bonds of different maturities in order to capture the changes in their relative returns. As measured by estimated changes in portfolio allocations, we find strong evidence of perverse market timing ability between cash and investment grade securities, and our results indicate additional perverse timing across the bond maturity spectrum. Results are robust to an alternative performance metric. We present evidence that the survival of the majority of these funds despite their negative performance may reflect the value investors place on the portfolio diversification benefits of holding these funds.     

Explaining green bond issuance using survey evidence: Beyond the greenium

The paper examines the drivers and challenges of issuing green bonds from the perspective of green bond issuers. Using survey evidence of global issuers representing 29% of total green bond issuances, the research shows that reputational benefits, the market signalling power of green bonds and a desire to curb climate change are the main motives for green bond issuance. In contrast, insufficient market evolvement, and a lack of awareness and suitable green projects represent the biggest barriers for entry to the green bond market. Most respondents consider green bond issuance costs to be higher than those of comparable plain vanilla bonds, but acceptable due to the benefits they derive from green bond issuances. Among these benefits, respondents report higher levels of demand for green bonds, higher levels of investor engagement, diversification of their investor base and a strengthened internal commitment to sustainability. Issuers' experiences vary regarding the pricing of green bonds – with 48% of respondents stating that their green bond funding costs are the same as for their plain vanilla bonds and 42% reporting lower green bond funding costs. Most issuers favour a standardisation of the definition of ‘green’ for determining which projects can be funded via green bonds.     

Financing the green projects: Market efficiency and volatility persistence of green versus conventional bonds,and the comparative effects of health and financial crises

The establishment of the green bond market is an attempt to attain environmental sustainability from the finance perspective. One of the factors that could either hinder or promote this course is the degree of market efficiency of the market. Against this background, this study comparatively examines the market efficiency of the U.S. green and conventional bonds. In addition, the performance of both markets is investigated during global health and financial crises. Applying the fractional integration technique, we find that the overall green and conventional bonds markets are still inefficient, indicating that green and conventional investors can make excess gains by predicting the future trends of bond prices. There is also evidence that the green bond market exhibits higher volatility persistence during the global health crisis than during the global financial crisis. These findings are corroborated by the GARCH-based models, whose results show that volatility shocks are more persistent in the green bond market during the health crisis than during the financial crisis. However, the conventional bond market observes persistence in volatility shocks during both events. Towards sustainable environment goals, these results have relevant implications for green investors and policy makers.     

信用债券市场流动性与投资者异质性研究

流动性是信用债券市场投资者和监管者高度关注的问题。从债权终止风险的视角出发,本文分析了投资者在投资期限习惯和信用品质偏好上的差异而产生的债券估值差异。可以发现,在配置型和交易型投资者并存的信用债券市场上,流动性水平与投资者异质性有关。提高配置型投资者比例、提高两类投资者间的异质性、降低同类投资者间的异质性能改善市场流动性。因此,培育合理的投资者结构对促进信用债券市场流动性建设具有重要意义。     

中国信用风险缓释工具创新试点最新进展

信用风险缓释工具（CRM）是2010年我国债券市场最重要的信用风险管理创新工具,它将短期融资券、中期票据等信用类债券的信用风险剥离定价,并转移给愿意承担风险的投资者。本文通过对CRM试点过程中存在的投资主体单一、市场机制不完善及外部环境建设滞后等问题进行了深度剖析,并有针对性地从投资者培育、信用评级与定价、做市商机制、交易信息披露、信用事件处理、以及监管会计税收法律制度建设等方面提出政策建议,以利于CRM市场的可持续发展。     

Investor behaviour and reaching for yield: Evidence from the sterling corporate bond market

We provide evidence on how corporate bond investors react to a change in yields, and how this behaviour differs in times of market‐wide stress. We also investigate ‘reaching for yield’ across investor types, as well as providing insights into the structure of the corporate bond market. Using proprietary sterling corporate bond transaction data, we show that insurance companies, hedge funds and asset managers are typically net buyers when corporate bond yields rise. Dealer banks clear the market by being net sellers. However, we find evidence for this behaviour reversing in times of stress for some investors. During the 2013 ‘taper tantrum’, asset managers were net sellers of corporate bonds in response to a sharp rise in yields, potentially amplifying price changes. At the same time, dealer banks were net buyers. Finally, we provide evidence that insurers, hedge funds and asset managers tilt their portfolios towards higher risk bonds, consistent with ‘reaching for yield’ behaviour.     

Is the disposition effect in bonds as strong as in stocks? Evidence from an emerging market

Does the disposition effect appear in bond trades as in stocks? We apply Odean's measurement (1998) to a proprietary transaction database with unique investor IDs from an emerging market exchange that holds both stock and bond trading. We find some disposition effect in treasury bonds, but much lower than in stocks, and a positive relation between the two measures by investor. In addition, we find a significant disposition effect for local individuals and family offices, in both markets. In contrast, long-term institutions, brokerage firms, and foreign investors do not exhibit this bias. This is the first study to report evidence of the disposition effect in a fixed-income market.     

Investor attention,ETF returns,and country-specific factors

Using the data of 47 single-country exchange-traded funds (ETFs) traded in the U.S. from 36 countries during 2004–2017, this research examines the impact of investor attention proxied by Google Search Volume Index and home country-specific factors on different quantile of their returns. Evidence first shows that compared with U.S. investor attention, home country investor attention largely correlates with low to medium ETF returns, supporting the attention-induced price pressure hypothesis. Second, home country-specific factors significantly affect ETF returns at different conditional quantiles. We also find that investors prefer investing in a country with strong similarity to that of the U.S., supporting the cross-country information asymmetry hypothesis. Third, an intervening effect of home country-specific factors exists on the relationship between U.S. investor attention and ETF returns. These findings should help government authorities find appropriate strategies to attract foreign investment and upgrade the value of their capital market as well as provide a reference on efficiency for equity investors.     

Investor strategies in the green bond market: The influence of liquidity risks,economic factors and clientele effects

The green bond market has dramatically expanded especially in Europe but severe liquidity issues may undermine its rapid development. If few studies have assessed the implied liquidity risks for investors in terms of liquidity premium, none of them have specifically analysed its behavior across bond maturities. To fill this gap, this paper studies the term structure of the liquidity premium of the green bond market.We find that the sizes of short-term and long-term premia are close to those estimated on the German government bond market. We show that those premia are affected by economic factors and by spillover effects between them, which contribute to the U-Shape of the liquidity premium. Finally, we detect a liquidity clientele effect on the ask side impacting the liquidity premium, which implies a maturity segmentation i.e., high-risk (resp. low-risk) investors buy short-term (resp. long-term) green bonds and hold them until maturity.Taken together, our results deliver valuable insights on investors' strategies in the green bond market. Quite importantly, green bond investors prefer to opt for buy and hold strategies because they are compensated for higher liquidity risks along the entire maturity spectrum.     

Global Public‐Private Investment Partnerships: A Financing Innovation with Positive Social Impact

Global bond markets, along with banks and governments, are the main source of funding for investment in environmentally friendly infrastructure and the transition to clean energy. Although such bonds are a relatively recent innovation, the green bond market has grown rapidly from its start in 2008 to around $800 billion in outstanding issues. The problem, however, is that green bonds, which represent less than 1% of global bond markets, have been issued disproportionately by government‐sponsored entities, corporations, and municipalities in developed markets. In the emerging market countries where the infrastructure investments are most needed, they barely exist. The authors describe a new investment vehicle, called the AP EGO fund, whose mission and MO are to channel the vast global pools of institutional savings that are now invested in low or (even negative) yield fixed‐income assets—as much as $17 trillion in 2019—to higher‐return emerging markets green investments, in particular sustainable infrastructure, by creating a new asset class: emerging‐market green bonds issued by banks. The AP EGO fund is premised on and involves a reworking of the public‐private partnership (PPP) into a form they call the global public‐private investment partnership (or GPPIP). Unlike the PPP, which combines a public agency with a private operator, the GPPIP has four instead of just two partners. In addition to the standard public agency and the private concession operator, there is a development bank—in this case the International Finance Corporation (IFC), which is the financial markets affiliate of the World Bank—and private investors that include emerging‐market banks as well as global institutional investors. Along with the mediating role played by a public agency like the IFC, the AP EGO Fund is fundamentally different from other PPPs in that it takes the form of a special purpose securitization vehicle whose shares are backed by a pool of green bonds issued by emerging market banks in multiple emerging market countries. And besides its application to a new asset class, the fund also breaks new ground by applying a securitization technique with a fund structure designed with an embedded “first‐loss” protection to a global pool of green bonds originated in emerging market economies. By means of this structuring, the green‐bond‐backed fund shares issued by the AP EGO are now providing developed market institutional investors with somewhat higher‐yielding fixed income securities that nevertheless carry an investment‐grade rating.     

Heterogeneity in asset allocation decisions: Empirical evidence from Switzerland

We analyze the heterogeneity in asset allocation decisions of different investor groups in response to changes in the macroeconomic environment. Using a new data set that includes the monthly portfolio holdings of private, commercial, and institutional investors deposited with Swiss banks, we estimate the relationship between equity and bond holdings and common business cycle indicators. Regression analysis indicates that private investors do not systematically move from stocks into bonds by selling stocks to institutional investors and purchasing bonds from them in adverse macroeconomic states. A VAR-error correction framework including cointegration and error correction restrictions suggests that the investment behavior of commercial investors leads and private investors follow in their investment decisions only slowly over time. The asset allocation decisions of institutional investors are not affected by the actions of private and commercial investors. Our results refute a principle of “institutional irrelevance”.     

Investigation of investors' overconfidence, familiarity and socialization

This study, using a sample of New Zealand investors, investigates three behavioural finance theories: investor overconfidence, socialization and the familiarity effect. We find support for the investor overconfidence theory, using characteristics such as past success, optimism, confidence in one's abilities, investment experience and investment‐related knowledge. Concerning the socialization theory, we observe that the investors actively sought information regarding the stock market, 75 per cent doing this on a weekly basis. Those investors that kept themselves informed daily outperformed other investors by 8 per cent. The familiarity effect was confirmed, showing investors to hold a far too high proportion of local stocks, although the majority of investors believed international equity markets would provide returns that were either better or equal to New Zealand stocks.     

Where's the greenium?

In this study, we investigate whether investors are willing to trade off wealth for societal benefits. We take advantage of unique institutional features of the municipal securities market to provide insight into this question. Since 2013, states and other governmental entities have issued over $23 billion of green bonds to fund eco-friendly projects. Comparing green securities to nearly identical securities issued for non-green purposes by the same issuers on the same day, we observe economically identical pricing for green and non-green issues. In contrast to a number of recent theoretical and experimental studies, we find that in real market settings investors appear entirely unwilling to forgo wealth to invest in environmentally sustainable projects. When risk and payoffs are held constant and are known to investors ex-ante, investors view green and non-green securities by the same issuer as almost exact substitutes. Thus, the greenium is essentially zero.     

How suboptimal are linear sharing rules?

The objective of this paper is to analyze criteria for portfolio choice when two investors are forced to invest in a common portfolio and share the proceeds by a linear sharing rule. A similar situation with many investors is typical for defined contribution pension schemes. The restriction implies two sources of suboptimal investment decisions as seen from each of the two investors individually. One is the suboptimal choice of portfolio, the other is the forced linear sharing rule. We measure the combined consequence for each investor by their respective loss in wealth equivalent. We show that significant losses can arise when investors are diverse in their risk attitude. We also show that an investor with a low degree of risk aversion, like the logarithmic or the square root investor, often applied in portfolio choice models, can either inflict or be subject to severe losses when being forced to participate in such a common investment pool.     

Investor yield and gross underwriting spread comparisons among U.S. dollar domestic,Yankee, Eurodollar,and global bonds

The characteristics and features of domestic, foreign, Eurobonds, and global bonds differ from one another, as do their regulation. We develop regression models to compare investor yield differences that should logically exist at issuance for these bond market segments for U.S. dollar denominated bonds. Our empirical results show that, ceteris paribus, both privately placed and Rule 144A Eurodollar issues yield more than publicly placed bonds; Yankee bonds yield insignificantly more than domestic bonds; and, the bearer feature common to Eurodollar bonds is not prized enough by institutional investors for them to accept a lower yield relative to domestic or Yankee bonds. We do not find a statistically significant difference between the investor yield spread on U.S. dollar global bonds and U.S. domestic bonds, or Yankee bonds, or Eurodollar bonds. We also study underwriting costs of publicly traded bonds and find, ceteris paribus, that Eurodollar bonds are far more costly for the firm to issue than domestic bonds, Yankee bonds, or global bonds; domestic and Yankee bonds are more expensive than global bonds; and, there is no significant cost difference between domestic and Yankee bonds.     

Should investors include green bonds in their portfolios? Evidence for the USA and Europe

The green bond market has seen a rapid growth world widely in recent years. This paper explores the role of green bonds in asset allocation using the dynamic R-vine copula-based mean-CVaR approach. We compare the performance of portfolios including green bonds with that of portfolios including conventional bonds in the U.S. and European markets. Empirical results show that portfolios with green bonds outperform portfolios with conventional bonds in terms of risk-adjusted returns in the majority of cases in both markets. The benefit of green bonds comes from both the increase in the return and the decrease in the volatility for most of the cases. Overall, our findings suggest that green bonds are beneficial to investors.     

Country and currency diversification of bond investments: do they really make sense for Swiss investors?

The inclusion of hedged or unhedged foreign currency bonds within a strategic asset allocation is a crucial decision which should be analyzed carefully. The goal of this paper is to provide a contribution to this analysis by focusing particularly on the time horizon of the investment. Results are analyzed from the perspective of a Swiss investor. We find that over the last 21 years, investing in bonds denominated in Swiss Francs has been clearly less efficient in terms of risk-adjusted returns than investing in a hedged global bond portfolio. For short-term investors, we find robust evidence against the hypothesis of investing in unhedged foreign currency bonds. The picture changes dramatically, however, when we consider an investment horizon of 6 years and the normal case of balanced portfolios including also equities and domestic bonds. In this case, the optimal strategy for the period we analyzed would have been to hedge only the exposure to US dollar bonds.      

基于国外经验借鉴的越南证券投资基金业发展策略探讨

证券投资基金是资本市场的重要组成部分,也是资本市场中最为重要的机构投资者之一,基金已经成为投资者参与证券投资的重要工具,以基金为代表的资产管理已经成为金融市场上与银行、证券、保险同等重要的金融服务业。本文通过对国外证券投资基金行业发展的借鉴回顾和分析了越南基金行业的发展历程,揭示越南基金行业所存在的问题并采取措施予以有效的解决,并对比中国、美国、英国的经验针对所存在的问题提出了政策措施建议。