小盘股基金：海外运作经验及其借鉴

小盘股基金是海外基金行业一支活跃的力量,在追求高收益的竞争中,形成了其独到的运作经验.本文对海外小盘股基金的收益、资产规模、持股集中度、换手率、行业组合、选股特征、信息披露等基金运作的全部过程进行了研究.在我国刚刚推出了中小企业板之际,发展我国的小盘股基金,对促进多层次资本市场的建立和发展具有现实意义.     

4问货币市场基金新规的影响

从2005年4月1日起,中国证监会发布的<关于货币市场基金投资等相关问题的通知>和<证券投资基金信息披露编报规则第5号<货币市场基金信息披露特别规定>>正式实施.此次新规则的实施对货币市场基金操作有何影响?货币市场基金的收益率是否会下降?货币市场基金是否还具有投资价值?那些习惯通过比较收益高低来挑选货币市场基金的投资者下一步应该如何选择呢?     

低估值“引爆”新一轮行情

[基金动态] QDII基金遭遇黑色8月 8月海外市场剧烈动荡，“出海”基金难以独善其身。最新披露净值显示，除两只黄金基金外，8月合格境内机构投资者（QDII）基金无一获得正收益，平均收益率不到1个月时间内下跌超过10％。     

最牛债基:银华增强收益债券基金位列债基榜首

随着基金三季报的披露结束,各类基金前三季度业绩陆续曝光。表现最牛的应属银华增强收益债券基金,根据银河证券统计,截至10月26日,该基金今年以来净值增长率达到16.34%,在所有债券基金中位居榜首。     

新加坡两大主权财富基金的投资策略分析

本文以新加坡两大主权财富基金,即淡马锡控股公司、新加坡政府投资公司为研究对象,探究亚洲成熟主权财富基金在投资战略、资产配置等方面的经验,并与中投公司目前的投资策略进行比较,在战略制定、收益衡量、信息披露等方面,为中国主权财富基金的发展提出建议。     

让监管风暴来得更猛烈些

据近期媒体披露,多家监管部门正对债券市场参与机构进行现场风险排查,银行、券商、基金等行业均有公司接受排查.中信证券固定收益部执行总经理杨辉、万家基金固定收益总监邹昱、易方达基金固定收益部投资经理马喜德等被查消息曝光,债券市场从来没有像现在这样暴露于镁光灯下,也在债市引发新的波澜.     

数字解析

357亿元人民币 全国社会保障基金理事会最新披露的数据显示,全国社保基金2011年基金投资已实现收益431亿元人民币．实现收益率5．58％;交易类资产当期公允价值变动额为357亿元人民币,     

戒酒吃药 基金淡定调仓

4月23日，基金一季报披露完毕，70家基金公司实现盈利约696亿元，相比去年四季度下降3成。从规模来看，权益类产品遭遇的赎回力度小于固定收益类产品，而一季度的明星基金规模急升。从仓位来看，主动管理的偏股方向基金仓位略有下降；配置方面，万科A取代贵州茅台成为基金的第一大重仓股。     

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.     

我国封闭式基金业绩持续性研究

本文以2001年-2006年所有封闭式基金为样本，研究了我国基金业绩持续性问题，研究发现我国基金业绩在短期内具有持续性，但随着时间推移基金业绩持续性迅速下降。在此基础上，本文认为高收益基金具有较高的系统风险，而且更倾向于采用动量交易策略。     

Information asymmetry,mutual funds and earnings management: Evidence from China

This paper investigates how information asymmetry and mutual fund ownership affect listed companies’ earnings management. We show that (1) reducing information asymmetry improves firms’ earnings management behavior; (2) relative to short-term mutual funds, long-term mutual funds promote earnings quality by adopting a monitoring role; and (3) by dividing firms into high/low information asymmetry groups, we find that the information environment significantly increases the effect of long-term mutual funds on firms’ earnings management. In this paper, we provide new evidence for the role that institutional investors play in a typical emerging capital market. Our results have clear policy implications: to increase earnings quality, it is essential to improve information transparency and develop long-term institutional investors.     

Behavioural analysis of socially responsible investment managers: specialists versus non-specialists

We analyse the performance and performance persistence of US socially responsible investment (SRI) managers from a managers’ perspective, differentiating between specialist managers (only running SRI mutual funds) and non-specialists (running SRI and conventional mutual funds). We find that the SRI fund nature has a significantly negative influence on the non-specialist performance. Furthermore, top managers of both groups persistently outperform SRI funds. However, non-specialist managers obtain superior performance to specialist managers, perhaps because of learning synergies in both fund niches. Results also show more persistence with non-specialists, especially with regard to conventional mutual funds.     

Unobserved ties between corporate executives and mutual fund managers

After corporate executives relocate from origin firms to destination firms, only 3.6 percent of mutual fund managers follow the departing executives: they divest from origin firms while initiating investments in destination firms. This phenomenon is more pronounced for those funds that earned superior returns from investments in the origin firms, and that demand more information regarding the destination firms. Further, comigration funds’ holding changes in destination firms more accurately predict cumulative abnormal returns around earnings announcements than do their investments in other stocks and non‐comigration funds’ new investments. Hiring the migrating executives does not improve the destination firms’ operating performance.     

Investor risk evaluation in the determination of management incentives in the mutual fund industry

This paper examines the way in which investors evaluate risk in deciding which mutual funds to invest. New fund investment is found to be positively related to a distributed lag of past fund performance with a strong degree of inertia. The relationship is mostly linear with significant nonlinearities at the upper (and possibly the lower) end of the performance spectrum. Investors appear to use publicly available data in a way that is consistent with the theory, giving equal weight in their decisions to the return and market risk components of the performance measure, while ignoring diversifiable risk. Finally, it is shown that improved performance in any year has a significant impact on the earnings of the management company. Because managers are rewarded on the basis of risk adjusted returns, risk neutral managers have no incentive to manipulate risk, except at very high performance levels.     

Fund flows and performance: New evidence from retail and institutional SRI mutual funds

In this paper we provide a comprehensive analysis of the performance of US SRI mutual funds as well as its relation to the flow of new money that those funds experience in the context of investors sophistication. In particular, we compare the performance of SRI funds with their conventional peers, matched by both managers and characteristics criteria, using several performance measures. We investigate the role of investors sophistication and its influence on the flow-performance and performance-flow relations within the retail and institutional SRI fund shareclasses. For the analysis of the flow-performance relation we use portfolio approach along with monotonic relation test, while the shape of the flow-performance relation is studied using piecewise linear panel regressions. For the performance-flow relation, the flow and unexpected flow portfolios are formed and their risk-adjusted performance is evaluated. We find that SRI mutual fund sector earns positive abnormal returns before expenses and retail SRI funds outperform their institutional peers both, before and after fees. No differences in performance when we consider SRI and conventional funds run by the same management companies. Moreover, we find a positive flow-performance relation which is convex for retail SRI funds but no convexity is found for the institutional ones. We cannot confirm the smart money effect for retail SRI funds, instead we find a dumb money effect for SRI institutional funds. Our paper provides new insights into the role of the investors sophistication for those relations in the presence of sustainability preferences.     

Fund Manager Succession in Closed-End Mutual Funds

Managing the succession process by the hiring and firing of key executives is one of the important functions of a board of directors. In this research we study successions of fund managers in the closed‐end mutual fund industry. The agency issues inherent in closed‐end mutual funds makes them a unique laboratory for such a study. Our results suggest that while the overall abnormal returns of these manager changes are statistically insignificant, that the returns are more positive for funds with large expense ratios and for funds trading at a discount. We also find the abnormal returns are negatively related to the percentage of inside director stock ownership. Corporate bond funds and international equity funds react more negatively to these announcements than other types of funds. The abnormal returns do not appear to be related to board composition, but board composition does vary across fund type, and may therefore indirectly influence the results.     

Active management, fund size, and bond mutual fund returns

Conventional wisdom holds that bonds are relatively homogenous investments compared to equities. Consequently, factors that explain variation in returns among bond mutual funds may differ in magnitude from those for equity mutual funds. In this study, a time-series cross-sectional analysis is employed to investigate the relationship between a bond fund's risk-adjusted return and specific fund attributes. Results indicate that a bond fund's past performance does not predict future performance and that bond fund managers are generally ineffective at increasing risk-adjusted returns. However, unlike equity mutual funds, bond mutual funds do appear to enjoy economies of scale.     

Capital market pressure,real earnings management,and institutional ownership stability - Evidence from Poland

This study investigates whether and how institutional ownership stability influences real earnings management. We find that institutional investors holding stable equity stakes play an important monitoring role in reducing real earnings management by managers pressured by capital market forces to “meet or beat” earnings targets. We also document no relationship between institutional ownership stability and real earnings management in companies with entrenched managers protected from capital market pressure by a dual-class ownership structure. Our findings of the negative association between real earnings management and institutional ownership stability also indicate that firms with more stable ownership are engaged in lesser sales manipulation and overproduction. In addition, we reveal that pressureresistant institutions (pension funds and mutual funds) that reduce real earnings management are an essential part of the external governance mechanism in an emerging economy.     

European Mutual Fund Performance

This paper presents an overview of the European mutual fund industry and investigates mutual fund performance using a survivorship bias controlled sample of 506 funds from the five most important mutual fund countries. The latter is done using the Carhart (1997) 4-factor asset-pricing model. In addition we investigate whether European 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 European mutual funds, and especially small cap funds are able to add value, as indicated by their positive after cost alphas. If we add back management fees, four out of five countries exhibit significant out-performance at an aggregate level. Finally, we detect strong persistence in mean returns for funds investing in the UK. Our results deviate from most US studies that argue mutual funds under-perform the market by the amount of expenses they charge.     

New Zealand mutual funds: measuring performance and persistence in performance

The present study investigates the performance of New Zealand mutual funds using a survivorship‐bias controlled sample of 143 funds for the period of 1990–2003. Our overall results suggest that New Zealand mutual funds have not been able to provide out‐performance. Alphas for equity funds, both domestic and international, are insignificantly different from zero, whereas balanced funds underperform significantly. There is no evidence of timing abilities by the fund managers. In the short term, significant evidence of return persistence for all funds is observed. This persistence, however, is driven by ‘icy hands’ rather than ‘hot hands’. Finally, we find the risk‐adjusted performance for equity funds to be positively related to fund size and expense ratio and negatively related to load charges.