Time-varying fund manager skills of socially responsible investing (SRI) funds in developed and emerging markets

We examine stock selectivity and timing abilities in the market-wide return, volatility and liquidity of SRI fund managers. We find that multi-dimensional fund manager skills are time-varying and persistent in the short run, with developed market funds exhibiting longer persistence in all dimensions. Fund manager skills tend to be affected by fund characteristics (i.e., expense ratio, fund size, turnover and management tenure) and market characteristics (i.e., ESG market capitalization, mandatory ESG regulation and 10–2 yield spread). Fund managers of developed (emerging) market funds outperform (underperform) the market indices. For both fund types, fund managers possess exceptional volatility and liquidity timing despite poor return timing. Moreover, fund managers focus more (less) on timing the market’s return and less (more) on picking stocks when the prospect of recession keeps increasing (decreasing). Interestingly, if fund managers attempt to time the market-wide return or liquidity, stock selectivity will be worsened by their timing behavior.     

降低养老保险缴费率：“一举两得”抑或“得不偿失”？——基于缴费遵从度与基金可持续的视角

2019年以来我国实施一系列"减税降费"政策以激发市场主体活力，例如城镇职工基本养老保险政策缴费率由28%降至24%，下调养老保险政策缴费率能提高缴费遵从度吗？养老保险基金可持续性又将发生何种变化？文章基于2002-2019年省级面板数据，运用计量模型和精算模型得到如下结果：（1）当养老保险政策缴费率每降低1个百分点，缴费遵从度会上升3.117个百分点；（2）如果养老保险政策缴费率仍为28%，基金分别于2021年和2026年开始出现当期赤字和累计赤字，2030年和2050年累计赤字规模分别为13.89万亿元和280.36万亿元；（3）若养老保险政策缴费率下调4个百分点，缴费遵从度上升12.468个百分点，养老保险基金开始出现累计赤字时点向后推迟1年至2027年，2030年和2050年累计赤字规模分别减少29.67%和8.14%；上述结论均通过稳健性检验和敏感性测试。综上所述，降低养老保险政策缴费率既能提高缴费遵从度，又能促进养老保险基金可持续运行，是一项"一举两得"的政策。     

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.     

Investment dynamics of fund managers under evolutionary games

We investigate the investment behavior of fund managers in financial markets according to evolutionary dynamics. We consider both the absolute and relative portfolio returns in the payoff gradient, to which the fund managers respond, and find the equilibrium proportion of risky investment. Compared to the case where only relative performance affects the payoff gradient, we find that, as the absolute performance affects the managers’ belief, the equilibrium of long and short positions increases. If short sales are not allowed, negative excess returns will force the managers to stay out of the market until the excess return becomes positive. Furthermore, we use a quadratic function to depict the relative performance. The quadratic setting captures the exaggerated sentiments of winners and losers arising from certain behavioral biases, and leads to a lower speed of convergence, which implies that herding decelerates and the managers are likely to adhere longer to their own strategies.     

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.     

中国公募基金挖掘了股票市场异象吗？

公募基金是我国重要的机构投资者之一,分析其投资逻辑对理解机构投资者行为和公募基金的选择至关重要。基于2005年至2019年主动管理偏股型开放式基金数据,本文检验了公募基金对A股市场87个异象因子的挖掘。为解决因子维度过大问题,本文采用非参方法从87个异象因子中提取有效信息的综合指标A-Score,并根据基金持仓构建基金的异象投资指标AIM(Anomalies Investing Measure)。结果显示:(1)中国公募基金挖掘了市场异象;(2)利用AIM可以选择表现更好的基金,并能获得0.45%的月度多空组合收益;(3)基金经理的选股能力、风格选择能力和风控能力是其挖掘异象收益的主要来源;(4)异象挖掘可以为基金带来长期资金流,同时也缓和了市场的错误定价。     

证券投资基金规模适度性研究——基于中国市场的证据

随着社保、养老金等中长期资金的大规模入市,中国公募基金规模面临更快扩张,那么基金规模究竟是可以无限扩张还是存在制约？本文研究发现,基金规模扩张会受到基金经理与投资者之间的委托代理冲突、边际规模报酬递减、投资者大规模赎回的制约。基于此,本文提出了基金管理规模适度区间的概念及其相应计量模型,并借此对2011—2019年间中国公募基金市场规模的适度性进行实证判断和检验,结果显示:(1)中国公募基金的平均管理规模在2015年之前过大,2016年之后趋向适度,而在2019年出现偏小现象。(2)中国基金市场规模适度区间的上、下限呈现逐年减小趋势,但二者的差值,即适度性区间的宽度却逐年增加。(3)规模适度基金的业绩表现远好于规模不足和规模过大两类基金,但市场上的规模适度基金占比则小于另外两类基金。最后,本文就如何提升公募基金,尤其是对安全性和盈利性要求更高的养老保险基金的规模适度性提出了相应对策建议。     

Fund ownership,wealth, and risk-taking: Evidence on private equity managers

Private equity (PE) managers are required to invest their own money in the funds they manage. We examine the incentive effects of this ownership on the delegated acquisition decision. A simple model shows that PE managers select less risky firms and use more debt, the higher their ownership. We test these predictions for a sample of Norwegian PE funds, using managers’ wealth to capture their relative risk aversion. As predicted, the target company’s cash-flow risk decreases and leverage increases with the manager’s ownership scaled by wealth. Moreover, the overall portfolio risk decreases with ownership, mitigating widespread concerns about excessive risk-taking.     

Evaluation of a Flemish Active Labour Market Policy in the framework of the European Social Fund. Results and challenges

The aim of this paper is to evaluate the “Work Experience for Young Persons” (WIJ) programme, which was implemented in Flanders between 2015 and 2018. The WIJ programme is partially financed through the European Social Fund (ESF) and targets unqualified, young, and unemployed people with the aim of facilitating their entry to the labour market. The programme involves a trajectory of intensive guidance that includes labour market orientation and coaching as first phase, plus competence strengthening activities as second phase. This analysis is based on the Flemish Public Employment Service’s administrative data sources, which allows us to exploit detailed information on previous labour market history. We apply Coarsened Exact Matching to evaluate the WIJ’s impact on young unemployed people specifically in terms of their probability of being employed, unemployed or inactive, and of re-entering into education. Our results suggest that those who have participated in the WIJ programme have lower employment and education probabilities with respect to those who participated in the standard activities proposed by the public employment service. However, we found a positive employment effect if we only consider those who participated in the standard trajectory, i.e. those whose WIJ intervention lasted fewer than 14 months; this means that the negative effects are driven by those young individuals following the extended trajectories.