How has the Relevance of Institutional Brokerage Changed?

Institutional brokerage rates have been in decline. We investigate whether this reduction has coincided with a fall in benefits provided by brokers to institutional asset managers. We use trade packages from both active and passive equity funds from 1995 to 2001 and active equity funds from 2002 to 2010. We find that later period active funds recoup a combined 1.75 basis point benefit (from price impact cost recovery and short‐term alpha) per basis point of brokerage cost. Later period active investors saw improved trade price impact and shorter‐term alpha net benefits, relative to earlier period active investors. These results are robust after controlling for trade characteristics and cross‐sectional variation over time. Our findings suggest that brokers innovate to provide valuable services in the subsequent, lower brokerage environment.     

A model of emulation funds

Emulation funds are a potentially cost‐effective way for multimanager funds to improve their investment performance by delaying and netting trade signals from underlying managers. We develop a model to represent the expected sources of differential performance in an emulation fund relative to its underlying multimanager portfolio. The model formalises the expected interaction between potential savings and opportunity costs and allows us to observe complexities in the emulation process that are hidden without a benchmark. Finally, the functional representation of the model allows sensitivity analysis of the emulation fund to key parameters and enables us to determine theoretically optimal lag periods.     

Factors Associated with Students' Academic Motivation in Agricultural Economics Classes

A study of undergraduates at Texas A&M University, Purdue University, and the University of Florida reveals that students viewing grades as a contributor to career success tend to be more academically motivated. Several measures of academic motivation are examined by means of general linear and also nonlinear models. Electronic entertainment, socializing, and time spent working are all negatively associated with academic motivation. Greater academic motivation exists among females. To the extent that additional work is needed for the support of increased tuition costs, students have the potential to be less academically motivated.     

Follow the leader: fund managers trading in signal‐strength sequence*

When fund managers trade sequentially in the same direction, the information confirmation hypothesis predicts the long‐term profitability of the leader trade to be increasing in the number of subsequent trades. The information cascade hypothesis predicts a non‐positive relationship. Using active equity funds’ daily trading data, we document a transition from information confirmation to information cascades as the number of followers increase. We find that highly disguised multiple‐broker packages exhibit higher market impact, higher long‐term returns and are associated with fewer followers. Our study also documents that lead fund managers face portfolio risk constraints in trading on private information.     

Climate Change Leadership as Sustainability Leadership: From the C‐Suite to the Conference of the Parties

Corporate leaders are increasingly called to enact roles as climate change leaders because of escalating risks to production and operations from man‐made climate change. An examination of corporate leaders’ roles within a United Nations Global Compact initiative, Carbon Pricing Champions, shows that three core practices were critical in advancing climate change leadership efforts: securing and maintaining top leader support, embedding the work within the organizational culture, and collaborating with like‐minded companies.     

Social integration and the role of student societies in higher education: an exploratory study in the UK

• This paper reports the research findings of an exploratory study designed to examine the role that planned efforts to establish and cultivate a student society play in the social integration of undergraduate students in higher education institutions (HEIs) in the UK. It identifies and explores the potential positive and negative benefits and outcomes that the operation of such a society can provide. The study aimed to achieve a better understanding of the role that a student society can play in the social integration of students. A qualitative methodology using 12 in‐depth interviews was employed. Data were analysed in relation to the key theme of the study, that is, student‐peer and student‐staff interactions. In addition, emergent themes were recorded and evaluated. The findings demonstrated that involvement in a student society did contribute to the social integration of students, it was found to be a key factor in reducing student attrition and dropout rates. The findings also demonstrate that a student society can make a meaningful and positive contribution to the management and administration of HEIs in terms of the perceived employability of students and the potential for student recruitment. It would appear that perhaps the value of a student society is currently under‐realised. Student societies could be viewed as a resource that with proper attention and development and could provide real benefits for both students and institutions across the entire HEI environment of the UK. Although there is a danger of student marginality occurring, there are ways to address this potential drawback.

Copyright © 2013 John Wiley & Sons, Ltd.     

Convertible Bond Arbitrage: Risk and Return

Abstract:  This paper specifies a simulated convertible bond arbitrage portfolio to characterise the risks in convertible bond arbitrage. For comparison the risk profile of convertible bond arbitrage hedge fund indices at both monthly and daily frequencies is also examined. Results indicate that convertible bond arbitrage is positively related to default and term structure risk factors. These risk factors are augmented with the simulated convertible bond arbitrage portfolio, mimicking a passive investment in convertible bond arbitrage, to assess the risk and return of individual hedge funds. We provide estimates of the performance of two hedge fund indices (an equally weighted and value weighted index) and a sample of convertible bond arbitrage hedge funds using a factor model methodology. Lagged and contemporaneous observations of the risk factors are specified, controlling for illiquidity in the securities held by funds. Our results cover two time periods. Initially we find evidence of abnormal risk adjusted returns in the individual hedge fund data and the equally weighted hedge fund index and no evidence of abnormal risk adjusted returns in the value weighted hedge fund index. When we examine performance during the credit crisis of 2007 and 2008 we find evidence of negative abnormal returns amongst individual hedge funds and the hedge fund indices.     

Are active fund managers collectors of private information or fast interpreters of public information?

Recent studies of fund manager performance find evidence of outperformance. However limited research exists as to whether such outperformance is because of privately collected information, or merely expedient interpretation of publicly released information. In this study, we examine the trade sequences of active Australian equity fund managers around earnings announcements to provide insights into the source of fund managers’ superior information. We document an increased occurrence of buy‐sell trade sequences around good‐news earnings announcements. The evidence is consistent with fund managers having both private information about forthcoming good‐news earnings announcements and being ‘short‐term profiteers’. We find no evidence that fund managers have private information about forthcoming bad‐news earnings announcements. However, we do find an increase in the frequency of fund managers not trading before bad‐news earnings announcements only to subsequently sell during announcements.