Improved inference for fund alphas using high-dimensional cross-sectional tests

The traditional fund-by-fund alpha inference suffers from various econometric problems (e.g., cross-sectional independence assumption, lack of power, time-invariant coefficient assumption, multiple-hypothesis-testing). Recognizing the panel nature of fund industries, we tailor four high-dimensional cross-sectional tests to shed light into both the zero-alpha hypothesis and ratio of non-zero alphas. Particularly, we augment Gagliardini et al. (2016) with a time-varying alpha estimator. Our results reject the zero-alpha joint hypothesis as the statistical significance of alphas is too high to be explained by luck. After controlling for luck, our empirical studies show that the power enhancement helps to identify a large portion of significant fund alphas, which cannot be achieved using the usual Wald test. Meanwhile, the time-varying approach shows that fund alphas diverge during the late 2000s Global Financial Crisis, which cannot be observed using the time-invariant model. Overall, relative to the literature, we draw a more accurate and complete picture, and provide several powerful tools for future research.     

Market Definition and the Measurement of Multimarket Contact

Abstract

The focus of this note is the appropriate definition of markets in which two (or more) firms compete for the purpose of measuring multimarket contact (MMC). Through several examples, it is shown that one cannot assume a particular trade-off with MMC as a broader or narrower approach to market definition is taken, suggesting that research using MMC measures seek robustness with alternative market definitions.     

Performance attribution of mutual funds in India: outperformance or mis‐representation?

We conduct a novel holdings‐based performance attribution, particularly suited to emerging markets, for equity‐oriented active mutual funds in India. Although, we find significantly positive alphas for an average fund, the stated benchmarks are grossly mis‐specified. A style‐adjusted benchmark could beat the stated benchmarks by greater margins than the funds themselves. While funds’ trading activity consistently adds value, cash drag and market timing usually diminish value. Although, the best‐performing funds exhibit superior security selection abilities, their outperformance does not persist. However, despite the lack of persistence winner funds continue to generate significantly higher alphas than loser funds for quite some time.     

Are mutual funds sitting ducks?

We find that patient traders profit from the predictable, flow-induced trades of mutual funds. In anticipation of a 1%-of-volume change in mutual fund flows into a stock next quarter, the institutions in the same 13F category as hedge funds trade 0.29–0.45% of volume in the current quarter. A third of the trading is associated with the subset of 504 identified hedge funds. The effect is stronger when quarterly mutual fund portfolio disclosure is required and among hedge funds with more patient capital. A one standard deviation higher measure of anticipatory trading by a hedge fund is associated with a 0.9% higher annualized four-factor alpha. A one standard deviation higher measure of anticipation of a mutual fund's trades by institutions is associated with a 0.07–0.15% lower annualized four-factor alpha. The effect is stronger for more constrained mutual funds.     

公募基金绩效能力的实证分析——引入2013年最新“风波”事件

对于基金经理人,市场收益择时能力和波动择时能力是一个决定性的因素。随着公募基金越来越受关注,如何专业而又科学的对公募基金的绩效进行评价和衡量则成为很多投资者最为关注的问题。这篇文章将深入研究中国基金从2006年1月1日到2010年12月13日期间公募基金的市场择时能力和波动择时能力的联合效益,通过构建市场波动模型(Busse,1999)和联合效益模型(Chen和Liang,2006)来分析时序数据,并对基金的市场表现进行理论与现实的分析。     

社会控制的延续,抑或公民社会的发轫?——不同理论视角下的城市居民社区参与

居民社区参与是当前社区研究中的一个热点。但对于居民社区参与的意涵到底是什么,是社会控制体制在社区这一日常生活场域中的延伸,还是公民社会与公民自治的发轫,不同的理论模式、不同的理论视角、不同的解释路径对此莫衷一是。本文对国家—社会关系模式下的公民社会视角和社会控制视角以及行动制度模式下的制度制约视角和理性选择视角下的居民社区参与研究进行了梳理和评述,并把社会互构论作为一种理解和阐述居民社区参与的新视角,试图在社会与国家以及行动与制度的相互建构、相互型塑的关系中理解居民社区参与的社会意涵。     

相互协商程序与我国税收争议解决机制的衔接

相互协商程序作为国际税收争议解决的主要方式,它与国内的行政复议、行政诉讼争议解决机制的有效衔接对于保障纳税人的合法权益非常重要。现行《税收征管法》没有明确相互协商程序与目前国内行政复议、行政诉讼的关系,如果仅按照现有法律条文和规范性文件执行,则会出现各种衔接不顺畅的问题。因此,建议完善《税收征管法》第八十八条的规定,将相互协商程序定位为与行政复议并行的救济方式,如果纳税人对相互协商程序的结论不服,不必再经行政复议程序即可提起行政诉讼。此外,建议我国将暂停征税作为启动相互协商程序的制度安排。     

Joint problem framing in sustainable land use research: Experience with Constellation Analysis as a method for inter- and transdisciplinary knowledge integration

Land use is an important field of interest regarding sustainability transformations. Research projects which deal with the multiple dimensions of sustainable land use usually apply an inter- and transdisciplinary design and are confronted with challenges of integrating heterogeneous knowledge.In this paper we refer to experience we had during the ELaN project, which followed a systemic approach by linking research on water and land management. Due to this relatively uncommon approach it was necessary to bring together scientists and practical actors as well as distributed knowledge from different areas of expertise. Considering the heterogeneity of the actors it was of great importance to establish a shared understanding of the research problem the project was to deal with during the initial phase. For this step the method of Constellation Analysis (CA) was applied: a visualisation and analysis tool which aims at joint problem framing by focusing on the dominant elements of a social-ecological problem and their relations in a discursive process. Due to the size of the project team and the necessity to involve a broad range of actors, a group of scientists led the iterative process and prepared CA drafts which were validated by practitioners. This design can be categorised as ‘consulting’ rather than ‘participatory’ transdisciplinarity. Proceeding this way can be seen as a compromise between more intense forms of transdisciplinary exchange and forms that are manageable when considering time and resource constraints in third-party funded projects.CA has proven to be a suitable tool for organising processes of mutual understanding between heterogeneous actors and fostering social integration in inter- and transdisciplinary research groups. In ELaN the main benefit of the process was an adjustment and enrichment of problem framing which was formulated in the project proposal thus contributing to integrated system knowledge as a basis for the interdisciplinary project consortium and involved practitioners. The insights gained during this process led to changes in the design of some of the sub-projects as well as the targeted end products. This experience confirms the importance of a structured process of joint problem framing in inter- and transdisciplinary projects, especially for thematic fields of such high complexity as land use research.     

Do actively managed mutual funds exploit stock market mispricing?

Constructing a proxy for mispricing with 15 well-known stock market anomalies, we examine whether actively managed mutual funds exploit mispricing. We find that, in the aggregate, mutual funds overweight overvalued stocks and underweight undervalued stocks relative to a passive benchmark, and this tendency is explained by the ill-motivated trades of agency-prone fund managers. In addition, we find that mutual funds with the highest weights in undervalued stocks outperform those with the highest weights in overvalued stocks by an annualized three-factor alpha of 2.12% (t = 2.38), implying that slanting portfolios based on our proxy helps mutual funds improve performance.     

Irrational Mutual Fund Managers: Explaining Differences in Their Behavior

Documenting the disposition effect for a large sample of mutual fund managers in the United States, we find that stock-level characteristics explain the cross-sectional variation of the effect. The disposition effect, which is the tendency to sell winner stocks too early and hold on to loser stocks for too long, is more pronounced for fund managers who invest in stocks that are more difficult to value. Using different measures of stock and market uncertainty, we show that mutual fund managers display a stronger disposition-driven behavior when stocks are more difficult to value. We also find that the level of the disposition effect is monotonically increasing with the level of systematic risk (i.e., beta). In addition, we document that the trading behavior of mutual fund managers is partly driven by attention-grabbing stocks (dividend-paying stocks). Overall, our results suggest that stock-level uncertainty and trading of attention-grabbing stocks amplify the disposition effect and that differences in the effect can be explained by mutual fund managers' investment styles. Given that mutual funds hold a large fraction of the U.S. equity market, our findings add to the ongoing discussion whether professional investors can create stock mispricings and shed new light on market efficiency.