上市公司策略性信息披露与公募基金赎回冲击

当上市公司的股价因受到外生性冲击而低于股票基本价值时,公司管理层有较强的动机通过策略性信息披露维护股价,来提升管理层的个人财富,完成股价相关的管理层绩效考核,避免上市公司成为其他公司的并购对象。本文以2010～2017年我国A股上市公司和公募基金为研究样本,利用公募基金赎回作为公司股价的外生性冲击,构建季度基金赎回冲击指标,研究了上市公司在股价受到基金赎回冲击时的策略性信息披露行为。实证研究发现当公募基金赎回对公司股价造成负面冲击时,公司管理层不仅会倾向于降低公告的季度总披露数量,而且会选择性地提高利好公告的季度披露数量,并降低利空公告的季度披露数量,以便减缓外生性负面冲击对股价造成的下跌压力。大型上市公司和高估值上市公司更有可能通过策略性信息披露的方式维护公司股价,经过稳健性检验和内生性研究后本文的结果依然成立。     

基金信息披露应简洁明了

如果招募书要想在这个新的信息时代生存的话，它必须服务于投资。而今天，许多招募书正是因为其内容难懂、篇幅过长，己趋向于掩盖那些能帮助人们进行投资决定的基本信息。事实上，如果所披露的信息不能起刭交流的作用便不能称之为信息披露。现在是刺穿包裹招募书的层层隐语，抛弃招募书的八股式行话的时候了。     

我国开放式基金信息披露制度及其优化

本文从我国开放式基金信息披露制度演化的角度,系统地梳理了我国开放式基金信息披露制度发展的两个阶段,在此基础上,从信息披露人的主体、披露的内容、披露时效、重大事项以及法律责任等 5 个方面分析我国现行开放式基金信息披露制度的特点.然后文章详细论证了我国开放式基金信息披露制度需要在招股说明书、费用披露格式、业绩比较基准、私人账单信息披露、对基金管理公司有关信息的披露以及特殊类型基金的信息披露等6个方面进行制度上的优化建议.     

北向资金信息披露与公募基金羊群行为

北向资金信息披露程度明显高于其他所有投资者,这种披露制度在业界引起了较大争议,但学术界至今缺乏针对性研究。北向资金进入A股也为我们提供了独特的天然实验,可以观测当外生出现新的“领头羊”时,基金羊群行为会发生何种变化。论文以A股股票成为陆股通标的股票作为外生冲击,研究发现,当公募基金观测到高频率的北向资金交易信息后,倾向于简单模仿北向资金,羊群程度明显提高。论文还通过股价信息含量的变化及公募基金模仿行为的持续性与收益、交易特征,排除了信息效应的替代性解释。最后得出结论,北向资金存在过度披露问题。     

中外国有企业信息披露比较

我国国有企业信息是报告制度，没有公开披露信息。而国外有些国家国有企业有相对成熟的信息披露机制。我们有必要增加国有企业信息透明度，减少相关人的监督成本。     

算算投连险的收益

作为投资型保险中风险最高但收益前景最好的一个,投连险当然要用收益说话。投连险收益水平如何,是否能涨抗跌？选投连险该如何避免进入误区呢？     

基金持股波动性与公司信息披露质量的关联性——来自深市上市公司2005～2013年的经验证据

本文从基金持股的集中程度和持股稳定性两个角度,探讨了基金改善其持股公司信息披露质量的微观行为。结果表明,与分散持股相比,基金的集中持股有助于改善其持股公司信息披露质量;同时,基金对其持股公司信息披露质量的改善还依赖于其持股稳定性,即:在基金持股相对集中的观测样本中,基金持股的稳定性进一步强化基金对其持股公司信息披露质量的改善作用。本文不但丰富了基金持股微观行为的实证研究,也为我国进一步鼓励和支持证券投资基金发展提供经验证据和决策支持。     

中美自愿性信息披露规制比较

随着我国资本市场的发展,自愿性信息披露越来越受到人们关注,自愿性信息披露有助于解决会计信息披露供给不足的问题,提高会计信息的相关性.本文通过中美自愿性信息披露规制的比较,探讨了中国自愿性信息披露规制不足之处,并提出了相关政策措施.     

投资连结保险产品设计及推广分析

投资连结保险的产品设计独特,将其保障功能与投资功能分开,一方面为消费者提供了调整保险和投资计划的便利,另一方面也使之与资本市场的走势密切相关。我国寿险市场上的供给方存在资本市场繁荣时过多引导消费者关注投资收益,边缘化其保险功能的问题;需求方则由于对投资连结保险产品收益的刚性预期,不能接受产品收益下降的情况。两方面共同的结果是导致投资连接保险成为寿险市场上的不稳定因素。为促使投资连接保险在我国的健康发展,应当强调投资连接保险的保障功能;针对销售导向进行实质的约束;利用税收对市场进行引导等。     

Performance implications of active management of institutional mutual funds

We use information on institutional US mutual funds to examine the performance implications of the decisions they make when actively implementing their investment processes. Our findings show that the success of active fund managers' stock selection decisions is influenced both by the aggressiveness with which they implement their processes and also the style tilts incorporated into their active positions. Our findings provide useful insights into both where one might best look when choosing an active manager and also suggest possible profitable investment strategies.     

Country and industry concentration and the performance of international mutual funds

We examine the relation between country and industry portfolio concentration and performance using a data set of international equity mutual funds. When sorted by concentration measures, funds in the most concentrated quintile outperform those in the most diversified quintile by 0.16% and 0.30% monthly in country and industry dimensions, respectively. Further analysis shows that the superior performance of concentrated funds is largely driven by industry rather than country concentration, suggesting the existence of global industry private information. Finally, we show that industry-concentrated funds rotate top-holding industries less frequently than their diversified counterparts, and that the industries these funds purchase subsequently outperform the industries they sell.     

Conditional performance evaluation for German equity mutual funds

We investigate the conditional performance of a sample of German equity mutual funds over the period from 1994 to 2003 using both the beta-pricing approach and the stochastic discount factor (SDF) framework. On average, mutual funds cannot generate excess returns relative to their benchmark that are large enough to cover their total expenses. Compared to unconditional alphas, fund performance sharply deteriorates when we measure conditional alphas. Given that stock returns are to some extent predictable based on publicly available information, conditional performance evaluation raises the benchmark for active fund managers because it gives them no credit for exploiting readily available information. Underperformance is more pronounced in the SDF framework than in beta-pricing models. The fund performance measures derived from alternative model specifications differ depending on the number of primitive assets taken to calibrate the SDF as well as the number of instrument variables used to scale assets and/or factors.     

用好保险资金 促内需保增长

只有用好保险资金,才能从根本上保障被保险人的利益,并有利于促进经济平稳较快发展。用好保险资金应坚持四个基本原则:效益原则、效率原则、多元化原则和风险可控原则。同时,还必须突出重点领域,重视并认真处理好以下几个选择:正确认识并处理好实体经济和虚拟经济的份额选择,重点投资实体经济;正确认识并处理好投资国内市场与投资国际市场的份额选择,重点投资国内市场;正确认识并处理好现阶段保险资金投资国内实体经济领域的选择,重点投资反周期、跨周期项目。     

The price of ethics and stakeholder governance: The performance of socially responsible mutual funds

Do investors pay a price for investing in socially responsible investments (SRI) funds, or do they obtain superior returns? This paper investigates these under- and overperformance hypotheses for all SRI funds across the world. Consistent with investors paying a price for ethics, SRI funds in the US, the UK, and in many continental European and Asia-Pacific countries underperform their domestic benchmarks by − 2.2% to − 6.5%. However, with the exception of some countries such as France, Japan and Sweden, the risk-adjusted returns of SRI funds are not statistically different from the performance of conventional funds. We also find that the underperformance of SRI funds is not driven by loadings on an ethics style factor. There is mixed evidence of a smart money effect: SRI investors are unable to identify the funds that will outperform in the future, whereas they show some fund-selection ability in identifying funds that will perform poorly. Finally, corporate governance and social screens yield lower risk-adjusted returns.     

保险资金不动产投资模式研究

本文首先对国际上保险资金进行不动产直接投资和间接投资的情况进行了概述,然后对保险资金不动产投资模式进行了归纳总结和案例分析。在此基础上,对我国目前保险资金不动产投资政策与模式进行了探讨。最后,针对我国保险资金不动产投资业务的发展提出了相关建议。     

Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure

This study examines a number of portfolio disclosure regimes with respect to accuracy and susceptibility to copycat behaviour in an environment absent of mandatory disclosure. We find that periodic portfolio disclosure tends to underestimate true excess performance as well as idiosyncratic risk in top‐quartile fund managers, with longer inter‐reporting intervals tending to result in greater differences. ‘Copycat funds’ following the disclosed holdings of top‐tier managers significantly underperform the underlying fund, while copycats following bottom‐tier managers significantly outperform the underlying fund. Our findings suggest that periodic reporting at monthly intervals or longer would not affect fund alpha generation.     

A performance measure for mutual funds using the Connor-Korajczyk methodology: An empirical study

This article examines the performance of a sample of bond, stock, and balanced funds. Close attention is paid to the bond versus equity composition of the mutual funds and how this asset composition affects the performance measure. This research includes the period from January 1977 through March 1984. The results of the analysis show that none of these mutual funds categories has outperformed the market. Fund managers in this sample are unable to predict security prices consistently to warrant the associated costs. In addition, the “goodness of fit” varied significantly between the types of funds examined.     

A stochastic dominance analysis of the turnover related performance of mutual funds

Mutual fund performance relative to portfolio turnover is examined for funds in different investment categories using non-parametric, stochastic dominance criteria. We find that, in general, high-turnover funds are at least equally preferable to those with low turnover. This suggests that the costs of obtaining and exploiting information are, on average, compensated for by the subsequent return distribution. The exception is maximum capital gains funds. Here, high-turnover funds clearly dominate those with low turnover and the information gathering function is profitable.We gratefully acknowledge the contribution of an anonymous referee and the comments of Art Gudikunst of Bryant College.