Equally Weighted Strategic Allocation and Balanced Funds in Brazil

This article analyzes equally weighted strategic asset allocation portfolios in Brazil between 2004 and 2016 and shows that their average returns are not always statistically greater than those of balanced funds, with significance changing in sub-periods. Fixed-income portfolios frequently outperform balanced funds, whose active management underperforms their declared benchmark portfolios. Balanced funds underperformed probably because they deviated from their investment policy. Transaction costs and other rebalancing frequencies do not change the conclusions. Robustness tests indicate that this evidence is valid out-of-the-sample. Investors can mimic balanced-fund policy and possibly do better by means of indexing according to this policy.     

Is there a diversification “cost” of Shari’ah compliance? Empirical evidence from Malaysian equities

Islamic equity portfolios work with a smaller investment universe given the filtering of non-Shari’ah compliant stocks. It has been theoretically argued that this culminates in suboptimal portfolio diversification, which in turn adversely affects risk-adjusted returns. We offer empirical evidence that such a conceived portfolio diversification “penalty” is far from a foregone conclusion, at least empirically. Our results tend to indicate that Islamic portfolios are not invariably handicapped in terms of portfolio diversification. We also explored dimensions that may account for differences in the relative investment performance between Islamic and conventional portfolios, such as portfolio constraints, short selling and market conditions. We believe this paper is among the first to apply substantial empirical analysis specifically with respect to the portfolio diversification perspective on Islamic equity investments.     

Who benefits in a crisis? Evidence from hedge fund stock and option holdings

We use a unique data set of hedge fund long equity and equity option positions to investigate a significant lockup-related premium earned during the tech bubble (1999–2001) and financial crisis (2007–2009). Net fund flows are significantly greater among lockup funds during crisis and noncrisis periods. Managers of hedge funds with locked-up capital trade opportunistically against flow-motivated trades of non-lockup managers, consistent with a hypothesis of rent extraction in providing crisis era liquidity. The success of this opportunistic trading is concentrated during periods of high borrowing costs, in less liquid stock markets, and is enhanced by hedging in the equity option market.     

State Capitalism Revisited: A Review of Emergent Forms and Developments

Even when the neoliberal ideology of the free market was more dominant than it now is, the state was involved in economic activities that could be undertaken by private firms. State capitalism takes increasingly diverse forms, including beyond direct, partial or even indirect ownership. This paper briefly reviews some of these forms without claiming to be exhaustive as the shape state capitalism takes differs widely across the institutionalized contexts of countries. We assess state capitalism using Polanyi’s double movement framework and argue that this framework needs adaptation to novel forms of state capitalism that include, e.g., state-owned multinationals and sovereign wealth funds.     

共享单车预付押金的法律性质及其法律规制

共享单车预付押金收取模式的异变和返还期限的错配与分离，颠覆了“一物一押”的传统押金结构，异变为“一人一押、一物多押”“一辆单车、多份押金”的新型结构，并使共享单车预付押金朝金融化衍变而呈现出类金融色彩。在免押模式尚不足以全面施行的条件下，应采取特殊的规制方法，通过规范押金收取协议，对预付押金进行账户隔离和妥善保管，增强押金收取、存管和退还的信息透明度，合理利用押金孳息建立行业风险基金以及统一监管机构，有效保护共享经济预付押金的财产安全。     

Happiness sentiments and the prediction of cross-border country exchange-traded fund returns

This research examines whether social media (Twitter) happiness sentiment and country-level happiness sentiment indices predict cross-border ETF returns. To account for complicated associations between happiness sentiment and ETF returns, we use a quantile regression approach and find that Twitter and trading market (U.S.) happiness sentiments are strong predictors of future ETF returns, for which both have far greater predictive power than those of their home countries. Home country happiness indices exhibit asymmetric impacts across quantiles, suggesting the importance of trading country (U.S.) and Twitter happiness sentiments. Higher U.S. and home countries’ freedom to make life choices, absence of corruption perception, and confidence in national government precede higher ETF returns, while U.S. GDP, social support, health life expectancy, positive affect, and negative affect precede lower (abnormal) returns. We find that higher return quantile country ETFs provide a safe haven for U.S. investors during a U.S. bear market.     

Do mutual fund flows affect the French corporate bond market?

We study whether investors’ withdrawals from mutual funds affect corporate bond prices. As mutual funds have become major players in the financial markets, they are likely to exert downward pressures on asset prices when facing investors’ redemptions, particularly in the less liquid markets such as corporate bonds. We use a novel dataset on the French bond funds and show that both flows in and out of mutual funds lead to a significant effect on the corporate bond yields. This effect is asymmetric as redemptions provoke a change in yields of greater magnitude than inflows. Moreover, all corporate bonds are not equally affected by investors’ withdrawals from funds: The more a bond is detained by funds, the higher the impact of redemptions on its yield. These three results are robust to various changes in econometric specifications.     

Fire sales by euro area banks and funds: What is their asset price impact?

The assets under management of investment funds have soared in recent years, triggering a debate on their possible implications for financial stability. We contribute to this debate assessing the asset price impact of fire sales in a novel partial equilibrium model of euro area funds and banks calibrated over the period between 2008 and 2017. An initial shock to yields causes funds to sell assets to address investor redemptions, while both banks and funds sell assets to keep their leverage constant. These fire sales generate second-round price effects. We find that the potential losses due to the price impact of fire sales have decreased over time for the system. The contribution of funds to this impact is lower than that of banks. However, funds’ relative contribution has risen due to their increased assets under management and banks’ lower leverage and rebalancing towards loans. Should this trend continue, funds will become an increasingly important source of systemic risk.