The effect of rule 12b-1 on bond fund expense ratios

This paper presents empirical evidence that bond mutual funds which have adopted the use of 12b-1 fees have not achieved the goal of lowering expense ratios. Using a model specific to bond funds, as opposed to generic models used in previous studies on equity funds, the analysis confirms that the 12b-1 fee is an additional cost borne by shareholders of the fund without any additional benefit. However, this cost as a percent of the net asset value of the fund has decreased from 1991 through 1994. This reduction coincides with the submission of a proposed rule change by the National Association of Security Dealers concerning maximum sales charges imposed by mutual funds on December 28, 1990 and the implementation of limits on 12b-1 fees which became effective in July of 1993.     

Affiliated block shareholders and analyst optimism

We investigate several previously under-documented conflicts of interest that may result in analyst optimism by utilizing two unique features of brokerage firms in China, namely, the dominant ownership of large shareholders within the brokerage firms and the mandatory disclosure of brokerage firms’ commission income derived from each mutual fund client. We show that controlling shareholders of an analyst’s brokerage-firm put pressure on the analyst to report more optimistically biased earnings forecasts and recommendations to the stocks they hold larger positions in. We also find that the magnitude of analyst optimism increases with the shareholdings of the mutual funds that contribute commission fees to the analyst’s brokerage firm. These findings remain robust after incorporating a regulation change that reduces conflicts of interest in the brokerage industry and higher dimensional fixed effects, and thus are unlikely to be driven by reverse causality or omitted variable bias.     

开放式证券投资基金费用率的实证研究

我国证券投资基金费用结构的设计较多地借鉴了美国投资基金业的经验,但由于依附的资本市场发展程度不尽相同,在费用种类和费用比率方面还存在着一定差异。基金运作费用是我国投资基金管理过程中一个有争议的话题。本文从多角度对我国开放式证券投资基金运作费用的现状进行了实证研究采用多元线性回归方法,以中国开放式证券基金费用率为主要研究对象,结合国外对于此问题的相关研究,从基金的业绩,单个基金的规模,以及基金类型三个方面进行实证分析。     

Mutual fund selection and performance persistence in 401(k) Plans

We examine how plan sponsors/providers select mutual funds for 401(k) plans and whether performance persistence exists for mutual funds listed in 401(k) plans. Using a hand-collected data set of 401(k) investment options, we find that plan sponsors are likely to choose actively managed growth funds, including aggressive growth funds and long-term growth funds. Furthermore, more than 50% of the mutual funds in our sample of 401(k) plans are selected from the top 10 fund families in terms of total net assets. On average, plan sponsors select funds that outperform the funds with the same investment objective and that have low expense ratios. The performance of mutual funds in 401(k) plans only persists in a short horizon. Our analysis indicates that the menus of 401(k) investment options do not exhibit a signaling effect, indicating that investment options in 401(k) plans do not supply useful information about the future performance of mutual funds for investors in selecting mutual funds.     

An empirical analysis of the <Emphasis Type="Italic">Wall Street Journal’s</Emphasis> SmartMoney fund screen

We examine mutual funds that appeared in the Wall Street Journal’s SmartMoney Fund Screen column from September 2004 through July 2009. We find that the majority of funds listed do not have Morningstar’s highest five star rating. Regardless of Morningstar rating, the average prepublication performance of the funds is significantly higher than the benchmarks used to measure performance. Post publication, fund performance declines, and the decline is statistically significant across our performance measures. However, additional tests indicate that the SmartMoney funds which have a three or four star rating from Morningstar are better investment values than corresponding five star Morningstar funds with the same prospectus objective and expense ratio.     

Robust performance measures for high yield bond funds

We examine performance measures for high yield bond mutual funds, which are a considerable percentage of taxable bond investments, but have not been widely studied. High yield funds exhibit persistence in their monthly returns, so we calculate Sharpe ratios using methods that incorporate the serial correlation of returns. We find that high yield fund rankings using raw returns and conventionally calculated Sharpe ratios are different from those using trailing standard deviations and robust standard errors. High yield fund rankings based on robust Sharpe ratios also differ from those computed using multi-index Jensen's alphas and information ratios. When measured by risk-adjusted returns, high yield bond fund managers do not add much value.     

Herding in Open-end Funds: Evidence from China

This paper aims to detect the herding of Chinese open-end fund managers and examine the role that structural features of their industry play in their herding. The herding behaviour is investigated by employing the cross-sectional absolute deviation (CSAD) model, drawing on the Chinese open-end fund market for the 2007–2020 period. Our findings suggest that the presence of herding has been confirmed in all other types of funds except for income funds, with their herding being mainly driven by non-fundamental factors. Most types of funds show more pronounced herding when the market is rising and the fund flow is positive. Up markets foster positive fund flows, which promote herding to a certain extent. The structural characteristics of fund networks of common asset holdings produce an impact on the fund herding. Herding is observed in the network with larger centrality index and the disassortative network. Moreover, we also find that herding in most types of funds is more pronounced under conditions of high volatility and high economic policy uncertainty, and the fund herding tends to grow inversely with fund-size.     

Impact of investor sentiment on mutual fund risk taking and performance: evidence from China

ABSTRACT

This study provides empirical rationale and guidance for incorporating investor sentiment into mutual fund enterprise information systems. It investigates the effect of fund-specific investor sentiment on fund risk taking and performance. Working on a sample of equity funds in China, our panel regressions reveal that fund risk-taking is negatively related to lagged fund-specific investor sentiment. Investor sentiment is negatively linked to subsequent fund performance, which conforms with the dumb money effect. Encouragingly, there is evidence that mutual fund managers in China possess investing expertise. Fund-specific investor sentiment shows asymmetric impacts. The dumb money effect is primarily driven by positive sentiment.     

The role of mutual funds in the sustainable energy sector

The integration of renewable energy criteria in mutual fund investment decisions could channel private resources into the funding of environmentally related projects implemented by firms contributing to sustainable development. This paper examines the performance of European renewable energy funds that invest globally by comparing their risk‐adjusted returns with those achieved by black energy and conventional mutual funds. It uses Carhart's model on a sample of 81 renewable energy funds, 125 black energy funds, and 4,337 conventional mutual funds. The results indicate that 32.1% of renewable mutual funds—most of which adopt energy producers, renewable energy technology, and energy efficiency‐focused criteria—perform significantly better than the S&P Clean Energy market benchmark, this percentage being affected by the different states of the economy. However, none of them are able to beat the fossil fuel energy (S&P Global 1200 Energy Index) or conventional market benchmarks (S&P Global 1200 Index). Furthermore, 37.04% of renewable energy funds significantly underperform the S&P Global 1200 benchmark. Therefore, the investment in renewable energy funds has a financial cost for investors in relation to conventional fund investors.     

政府投资项目工程造价控制研究

政府投资项目是指以财政拨款、国土基金、城市基础设施增容费、教育附加费、排污费、住房基金、市属国有企业上缴利润等投资的建设项目.当前,政府投资项目造价控制仍然停留在对项目实施阶段的造价控制上,缺少对项目前期投资决策、设计、招标等各个阶段的造价控制,没有实施有效的造价全过程控制.文章阐述了时政府投资项目工程造价控制的有效管理方法,说明对国有资金和以国有资金为主的投资项目实施造价控制是十分必要的.     

Investor sentiment and country exchange traded funds: Does economic freedom matter?

Using unbalanced panel data of 27 iShares MSCI country-specific exchange traded funds (ETFs) over the period 1996–2014, this paper applies quantile regression to examine the impacts of global, foreign, and U.S. investor sentiments on the returns of the ETFs traded in the U.S. markets. We further investigate whether a country’s economic freedom affects the relationship between investor sentiments and ETF returns. We find that ETF returns are strongly determined by investor sentiments and the ETF expense ratio. The quantile regression approach reveals that high-return ETFs are positively sensitive to changes in global sentiment (measured by market turnover, VIX, U.S. federal funds rate), foreign sentiment (measured by current account balance, inflation, market turnover, public debt), U.S. sentiment, currency exchange ratio, and expense ratio, while negatively influenced by economic freedom and Asian proxy. The effects of VIX and foreign inflation are a reversal; that is, returns from lower (higher) quantiles have a negative (positive) relation with VIX and foreign inflation. Not all components of economic freedom affect returns equally.     

Hedge funds,fund attributes and risk adjusted returns

We use proprietary data to examine factors that lead hedge fund managers to offer hurdle rates and investigate relative hedge fund performance based on risk-adjusted returns. Using data from 3,571 hedge funds over a 15 year period, we find that funds that do not offer a hurdle rate outperform those that do. Funds offering a high watermark charge substantially higher performance fees. Further, emerging market, fixed income, and funds of funds are significantly more likely to offer a hurdle rate than other types of funds. Performance fees have a positive impact on the likelihood of offering a hurdle rate. Fund leverage and management fees are negatively associated with hurdle rates. The cross-sectional regressions show that funds, which offer a hurdle rate, underperform those that do not. Funds that charge a high performance fee appear to outperform those that charge a relatively low fee. The results are consistent with the view that those managers who wish to improve risk-adjusted returns should not focus on hurdle rates.     

基金业绩影响因素研究——基于基金经理特征视角

通过对基金经理特征与基金业绩关系的实证研究考察了年龄、性别、任期、工作经历、银行背景、教育背景、资格证书等经理特征对基金业绩的影响。实证结果表明,年龄、任期、MBA与基金业绩负相关,银行经历与基金业绩正相关,博士学历反而没有硕士学历的经理基金业绩好,女性经理业绩强于男性,工作经历对业绩影响不大,CFA证书持有者业绩略好,金融专业背景经理业绩强于其他专业。研究还发现,硕士毕业于国内排名前十位高校的基金经理管理的业绩,获得比其他经理管理的基金高出13.6%-15.4%的投资收益率。研究结论表明,较高的人力资本和社会资本有利于基金业绩的提升,而经验资本影响不大。     

Evaluating mutual funds on a small market: is benchmark selection crucial?

This paper focuses on mutual fund performance analysis on a small market during a turbulent period. Firstly, we address the question of proper measures and benchmarks. A potentially critical issue on a small market concerns large market weights for individual stocks, which in combination with mutual fund legislation may prevent funds from following the index. Secondly, our investigation period was characterized by persistent bull and bear markets, which makes it interesting to investigate whether successful market timing was possible. Different measures of performance are compared and benchmark sensitivity is analysed with the help of various market timing and multiple index models, including benchmarks such as the FOX and HEX indices, a small-firm index, and a bond index. Contrary to many studies that record great benchmark sensitivity, we find markedly similar ranking for different benchmarks. Performance measures are also related to certain fund characteristics such as fund expenses, and fund size. We find that fund characteristics (especially fund expenses) are significantly related to fund performance, a relationship that may be used to increase the power of tests of fund performance.     

Emerging market mutual fund performance: Evidence for Poland

This paper provides evidence on the performance of mutual funds in a prominent emerging market; Poland. Studying an emerging market provides an excellent opportunity to test whether the consensus on the inability of mutual funds in developed and highly efficient markets to beat the market, also holds in less efficient markets. While the weaknesses of legal institutions and underdeveloped capital markets in emerging countries could negatively contribute to performance, a certain level of market inefficiency might also enable fund managers to successfully apply security selection and therefore beat the market. This paper presents an overview of the Polish mutual fund industry and investigates mutual fund performance using a survivorship bias controlled sample of 140 funds. The latter is done using the Carhart (1997) 4-factor asset-pricing model. In addition, we investigate whether Polish fund managers exhibit “hot hands”, persistence in performance. Finally the influence of fund characteristics on risk-adjusted performance is considered. Our overall results suggest that Polish mutual funds on average are not able to add value, as indicated by their negative net alphas. Interestingly, domestic funds outperform internationally investing funds, which points at informational advantages of local over foreign investors. Finally, we detect strong persistence in mean returns up to 1 year. It is striking that “winning” funds are able to significantly beat the market, based on their significantly positive alpha's. These results deviate from studies on developed markets that conclude that even past winners are not able to significantly beat the market.     

Fund immunity to the COVID-19 pandemic: Evidence from Chinese equity funds

This paper discusses the connection between public equity fund characteristics and performance reactions to COVID-19 using data over 1300 equity funds across 105 Chinese fund companies. Empirical evidences from over 20 fund characteristics show that the liquidity, diversification and pre-2020 Sharpe ratio, fund management abilities, agency costs can determine the fund immunity to COVID-19. Based on these characteristics mentioned, our empirical results can explain why COVID-19-induced drop in fund performance is milder among open-end funds, active funds, ETFs, and growth funds, and also can explain why funds controlled by private companies or by sino-foreign joint ventures or by companies with more independent directors of financial experiences perform better in the pandemic. Our work also provides some valuable suggestions for investors and regulators confronting an exogenous shock.     

Closed-end bond fund discounts: Agency costs,investor sentiment and portfolio content

A sample of closed-end bond funds is examined to investigate several hypotheses purporting to explain closed-end fund discounts. Consistent with Brickley, Manaster and Schallheim (1991), unrealized capital appreciation is found to be negatively related to the discount. Support also is found for the investor sentiment hypothesis of Lee, Shleifer, and Thaler (1991). Fund expense, a proxy for agency-related issues, and holdings of foreign securities, are found to be positively related to the discount. Two proxies for the investor allocation decision: the slope of the yield curve, and differential returns between stocks and bonds, are significant in the directions expected. No significant relationships are found between investments in either restricted securities or large outside blockholdings and the discount.     

Does investor sentiment affect fund crashes? Evidence from Chinese open-end funds

This paper aims to detect the impact of investor sentiment on the open-end fund crashes, drawing on the open-end stock funds and partial stock funds of China for the 2009–2019 period. The results show that the rise of investor sentiment will significantly increase the risk of the open-end fund crashes, which remains valid after robustness tests. Further researches indicate that the market timing and stock selection abilities of fund managers weaken the positive impact of investor sentiment on the open-end fund crashes, and the market illiquidity promotes the positive impact of investor sentiment on the open-end fund crashes.     

Hedge funds in portfolios of risk-averse investors

We find that adding a hedge fund to an optimally weighted portfolio of stocks and T-bills generally increases the utility of an investor. From a sample of hedge funds with returns from 1996 to 2005, the certainty equivalent was an average of five basis points (monthly) higher with a ten percent allocation into a hedge fund. Funds from different style categories require different allocations into the stock market, but nearly all funds improved performance. Contrary to popular opinion, we find that highly risk-averse investors gain even more than less risk-averse investors by adding a hedge fund into their portfolio.     

Hedge fund attributes and volatility around equity offerings

The purpose of this paper is to explore the potential influence of hedge fund attributes on idiosyncratic volatility (IVOL) in excess stock returns for 705 firms undergoing seasoned equity offerings (SEOs). This investigation is important due to the pervasive concerns about the impact of hedge funds on volatility. We choose a time frame from 1999 to 2005 covering two periods that could impact IVOL differently: the internet-technology bubble period and the post-bubble period. Our time frame includes the breakpoint year of 2000 that marks a downward trend in IVOL from 2000 to 2008. We explore this IVOL drop for a sample of SEOs and find that the decline in IVOL for this sample can be primarily related to the rapid increase in the hedge fund industry size and to the increasing use of leverage by hedge funds. This trend is also related to the increasing use of a relative value (arbitrage) strategy and the decreasing use of an event-driven strategy. IVOL for our sample also appears to decrease with greater hedge fund performance except when hedge funds are riding the pre-SEO stock price run-up. The downward shift in IVOL for our SEO sample around their offering dates is better explained by hedge fund attributes than by non-hedge fund attributes. In conclusion, our findings suggest that the rapid increase in the hedge fund industry offer an explanation for the mysterious decline in IVOL that has been witnessed since 2000.