Past Returns and Investment Trust Discounts

Abstract:   The relationship between past net asset value returns and the current discount on investment trusts is investigated. The relationship is weaker for the component that is common to all trusts in the same sector, and is significantly stronger for more liquid trusts. The time lag before returns have their full impact on discounts is consistent with the requirements of distinguishing 'skill' from noise. Although discounts vary widely even within the same sector, the range of variation appears to be consistent with an arbitrage equilibrium, in which the profits of exploiting apparent pricing anomalies are just insufficient to invite arbitrage trades.     

Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds

Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance and extend the analysis to include the relatively new measure of volatility timing. This is of particular relevance to our data set, as high levels of volatility persistence are prevalent in Australia. In addition we consider the stability, asymmetry and seasonality of the various performance and risk measures. A survivorship adjustment procedure is also employed in order to assess the impact of survivorship on selectivity, market timing and volatility timing performance.     

How to measure mutual fund performance: economic versus statistical relevance

In the present paper a comprehensive assessment of existing mutual fund performance models is presented. Using a survivor‐bias free database of all US mutual funds, we explore the added value of introducing extra variables such as size, book‐to‐market, momentum and a bond index. In addition to that we evaluate the use of introducing time‐variation in betas and alpha. The search for the most suitable model to measure mutual fund performance will be addressed along two lines. First, we are interested in the statistical significance of adding more factors to the single factor model. Second, we focus on the economic importance of more elaborate model specifications. The added value of the present study lies both in the step‐wise process of identifying relevant factors, and the use of a rich US mutual fund database that was recently released by the Center for Research in Security Prices.     

Long-Term Performance Following Rights Issues and Open Offers in the UK

Abstract:  This study finds evidence of significant long-term underperformance following rights issues made during 1986-95 in the UK. The findings are resilient to a number of methodological controls. In contrast, our results for a smaller sample of open offers made during 1991-95 show strong positive performance over a 5-year post-issue period, implying that firms making open offers had better growth prospects than firms making rights issues. During 1986-90, a period when open offers were rarely used, firms appeared to be making rights issues to exploit overvaluation. However, this was not evident for rights issues made during 1991-95, a period when open offers were more commonly used.     

Consistency of UK Pension Fund Investment Performance

Transition matrix techniques are used to relate the past and present performance of pension fund portfolios. In particular, funds are ranked to study the tendency of portfolios to remain in the same quartile of the ranking as they were in the previous period. For raw returns, funds in both of the top quartiles are found to be more likely to remain in the same quartile than would be expected by chance. This result can be taken as limited evidence for the consistency of performance. Similar systemic effects are observed on a risk-adjusted basis. There appears to be clear evidence that some fund managers can offer a degree of consistent good performance.     

露天边坡工程及FLAC数值分析

以高西沟露天煤矿的西北边帮作为研究对象,运用FLAC3D数值模拟软件,经过数值计算得到边坡安全系数为1.57,其与工程类比法计算得到的数值差不多,知该数值分析方法不仅能快速、准确的算出边坡的稳定性系数,还能够形象的描绘边坡的滑移临界场,是一种有效的边坡稳定性分析的方法。     

基于扎根理论的中国旅游保险发展影响因素研究

本文使用一种新颖的理论范式——扎根理论,研究了制约中国民众购买旅游保险的影响因素问题,研究基于一次社会调查,通过创建开放性译码与主轴译码,最后得出选择性译码,进而构建了制约中国旅游保险影响因素的基本理论框架,揭示了解决问题的出路。     

省级政府数据开放平台建设水平的影响因素及组态分析

政府数据开放平台建设水平是直接关系到政府数据开放成效的重要因素,研究政府数据开放平台建设水平的影响因素及组态具有重要意义。基于政府数据开放生态理论,构建包括数据质量、政府资金支持、公众需求、技术人才保障、政府政策支持以及数据利用度在内的6个条件变量,采用模糊集定性比较分析方法(fsQCA)对15个省级政府数据开放平台建设水平的影响因素及组态进行分析。政府数据开放平台建设水平的高低受到数据质量、政府资金支持等多个因素的共同影响,我国政府数据开放平台建设水平的影响机制可以分为政策与数据联动型、数据与环境联动型以及全要素驱动型3种不同的影响机制,不同的省份可以采取相应机制因地制宜提高本省政府数据开放平台建设水平。