Evidence of herding and positive feedback trading for mutual funds in emerging Asian countries

When analysing the behavior of investors, the emphasis is usually on positive feedback and herding behavior, and the existing literature abounds with studies on the domestic strategy of mutual funds or on their impact. Due to the advantages in terms of the data, many studies investigate US data. However, with the increased flows of capital into emerging markets, studying the behavior of international mutual funds in emerging markets has become more and more important. Nevertheless, studies involving emerging markets are relatively rare. This study examines whether the positive feedback effect and herding behavior exist in Asian markets based on mutual fund data covering the period from 1996 to 2004. The long period enables us to test the sensitivities under the following four conditions, namely the capital volatility (volatile vs. stable), the degree of suffering during the Asian crisis (more suffering vs. less suffering), and the timing of the Asian crisis (pre-, during, and post-crisis), using the exchange rate regime. It was found in this study that mutual fund inflows into the Asian market were attracted by positive stock returns and currency appreciation. Furthermore, it was found that the positive feedback effect and herding behavior did exist in the Asian markets. However, the extent of the above behavior is not the same under different conditions.     

Geographical Proximity and Mutual Funds' Proxy Voting Behavior

This paper examines the influence of geographical proximity on mutual fund proxy voting decisions. Using mutual fund proxy voting data for the sample period July 1, 2003 to June 30, 2004, we find that fund managers vote more in favor of management of locally headquartered firms. The results are strong for proposals related to executive compensation, anti‐takeover provisions, social and political issues. We provide evidence to show that bias in proxy voting is not being driven by informational advantage; voting bias is prevalent in small as well as large size companies. Additionally, the voting pattern suggests that geographical proximity does not facilitate in better corporate monitoring as revealed in their voting decisions. We find that local fund managers vote more favorably in those proposals which do not increase shareholders' wealth and rights. Our results suggest that familiarity and social interaction between fund managers and firm executives located in the same geographic area might explain the local bias in mutual fund proxy voting behavior. Copyright © 2011 John Wiley & Sons, Ltd.     

论开放式基金受托人的实际缺位

作为开放式基金运行的法律保障,我国《信托法》和《证券投资基金法》基本勾勒了其法律框架,在肯定开放式基金信托性质的基础上把保护投资人利益提到了重要位置。然而由于基金管理公司身兼受托人和基金管理人双重身份,使得信托关系名存实亡,投资人利益因此极易受到侵害。本文在指出开放式基金受托人缺位这一事实的同时,对我国基金托管人应当具备的法律地位及其权利义务进行了探讨,并期望《证券投资基金法》的配套法规能解决好这一问题,以免出现与信托法理相悖的尴尬现象。     

中国与哈萨克斯坦双边贸易发展问题研究

利用贸易结合度指数分析中哈两国双边贸易联系的紧密程度,通过经常市场份额模型分析双边贸易增长源泉,基于SITCREV.3贸易统计数据分析双边贸易产品结构变迁,使用贸易特化系数分析双边贸易中的产业内互补及产业间互补,从多个视角对中国和哈萨克斯坦两国双边贸易进行全面研究,以探求双边贸易持续发展的动力和方向。     

The influence of buy-side analysts on mutual fund trading

We present evidence on the trading and performance impact of buy-side analysts. Using data provided by a large global asset manager, we relate buy-side analysts’ recommendations to fund transactions on a daily basis. We show that buy-side analysts significantly influence trading decisions: Fund managers strongly follow recent recommendation revisions, even after controlling for other trading determinants. Positive abnormal returns to buy-side analysts’ revisions are also reflected in the performance of mutual fund trades: Trades triggered by buy-side recommendations have higher returns than other trades. Overall, the impact of buy-side analysts is more pronounced than that of sell-side analysts.     

Firm performance and mutual fund voting

We employ a new comprehensive proxy voting records database to investigate whether mutual funds consider prior firm performance when they vote on a diverse range of management- and shareholder-sponsored proposals relating to governance, compensation, and director election. We argue that prior firm performance plays a role in the monitoring effort of mutual funds as they fulfill their fiduciary duties. Results show that voting is related to prior firm performance for selected management and shareholder proposals and that it is consistent with Institutional Shareholder Services’ recommendations. Mutual funds support management (shareholder) proposals less (more) when prior firm performance has been weak. Furthermore, even when mutual funds deviate from their fund family’s voting policies, they attach importance to prior firm performance, and their voting is, to a certain degree, affected by business ties.     

Multimarket Contact and Profitability in Banking: Evidence from Italy

In this paper we test the theory according to which multimarket contact is a crucial factor hampering competition among firms, because it lowers the incentive to behave aggressively in one market if there is fear that rivals retaliate in other common markets. We consider the Italian banking industry in the period 2002–2005, employing both market-level and firm-level data. The empirical evidence supports theory predictions, since profitability is positively related to the average number of contacts among banks, and appear to be higher for those credit institutions experiencing more links. This result has also policy implications, given the increasing consolidation (and hence the growing number of interactions in local markets) that has characterized this sector in the last years.

Do aggressive funds reallocate their portfolios aggressively?

This study examines pairs of asset allocation mutual funds that are controlled for all informational attributes, except for the level of risk aversion. Standard mean‐variance models of portfolio choice suggest that the percentage rebalancing of common stocks in aggressive funds would be the same as that in conservative funds. However, this study finds the rebalancing of common stocks in aggressive funds to be disproportionally less intense.     

The impact of prior performance on the risk-taking of mutual fund managers

We analyze the impact of prior performance on the risk-taking behavior of mutual fund managers. We contribute to the existing literature by using different measures of risks, a larger data set, and an econometric approach capturing non-linear effects and assigning exact probabilities to the mutual fund managers’ adjustment of behavior. We find that prior performance in the first half of the year has, in general, a positive impact on the choice of the risk level in the second half of the year. Successful fund managers increase the volatility, the beta, and assign a higher proportion of their portfolio to value stocks, small firms, and momentum stocks in comparison to unsuccessful fund managers. Unsuccessful fund manager increase, on average, only the tracking error. We thank an anonymous referee, Bernd Brommundt, Alexander Ising, Stephan Kessler, Axel Kind, Angelika Noll, Jennifer Noll, Ralf Seiz, Stephan Süss, Rico von Wyss, and Andreas Zingg for valuable comments. We acknowledge helpful comments of the participants from the Joint Research Workshop of the University of St. Gallen and the University of Ulm in 2005.     

Commercial bank mutual fund activities: Implications for bank risk and profitability

This paper examines the risk structure of bank holding companies and the effect of mutual fund activities on bank risk and profitability over the period 1987–1994. Findings from structural change tests indicate a significant decline in bank risk occurred near the mid-point of the study. Results from a confirmatory factor analytic model employed to examine the impact of mutual fund activities on banks suggest that mutual fund activities moderated bank industry systematic risk during the sample period. Mutual fund activities also increased the profitability of banks. These results suggest that mutual funds represent a productive avenue of expansion for bank holding companies.