How much does tax erode fund excess returns?

We model the tax drag from active fund management based on reported monthly holdings of active equity funds. Tax drag erodes 65 percent of the 0.74 percent excess return in Broad Market funds, but only 21 percent of the 1.80 percent excess return in Small-Cap funds for Australian superannuation (pension) fund investors. Tax drag varies with investment style; market state, which is most detrimental during bull markets; and fund turnover. For high-income individual investors, tax drag is exacerbated to the extent that active management only generates meaningful after-tax excess return for Small-Cap funds of certain styles.     

Islamic and conventional portfolios optimization under investor sentiment states: Bayesian vs Markowitz portfolio analysis

This paper investigates the portfolio optimization under investor’s sentiment states of Hidden Markov model and over a different time horizon during the period 2004–2016. To compare the efficient portfolios of the Islamic and the conventional stock indexes, we have employed two approaches: the Bayesian and Markowitz mean-variance. Our findings reveal that the Bayesian efficient frontier of Islamic and conventional stock portfolios is affected by the investor’s sentiment state and the time horizon. Our findings also indicate that the investor’s sentiment regimes change the Islamic and the conventional optimal diversified portfolios.Moreover, the results show that the potential diversification benefits seem to be more important when using the Bayesian approach than when applying the Markowitz approach. This finding is valid for the bearish, depressed, bullish and calm states in Islamic stock markets. However, the diversification of potential portfolios is significant only for the bullish and the bubble states in the conventional financial markets.The findings of the study provided additional evidence for investors to exploit googling investor sentiment states to evaluate the portfolio performance and make an optimal portfolio allocation.     

Combining the minimum-variance and equally-weighted portfolios: Can portfolio performance be improved?

It is documented in the literature that due to estimation errors, mean-variance efficient portfolios deliver no higher out-of-sample Sharpe ratios than does the naïve equally-weighted portfolio (EWP). This paper demonstrates how the out-of-sample performance of the minimum-variance portfolio (MVP) can be improved in the presence of estimation errors by combining the MVP and EWP. Our results indicate that an appropriate combination of the MVP and EWP can enhance Sharpe ratios under any scenarios considered, and can also reduce the portfolio risk if short-selling is allowed. However, the combination strategy is not able to generate a lower risk level than the MVP when a short-selling restriction is imposed. We find that the optimal combination coefficient depends on the factors that greatly impact estimation errors in the MVP, including sample size, estimation method, no-short-selling restriction, and length of the out-of-sample period under consideration.     

Paired comparison models with age effects modeled as piecewise quadratic splines

We propose new models for analyzing pairwise comparison data, such as that relating to sports. We focus on changes in players’ strengths and the prediction of future results. Our models are based on the Thurstone-Mosteller and Bradley–Terry models, and make use of the time variation in the parameters. Furthermore, we apply our models to data from the Japanese traditional sport sumo, and analyze this data. The proposed models perform better than the standard Thurstone-Mosteller and Bradley–Terry models according to both the Akaike information criterion and the Brier score. We compare the proposed models in detail by focusing on individual sumo wrestlers.     

Jensen's alpha and the market‐timing puzzle

Theory predicts that market‐timing activities bias Jensen's alpha (JA). However, empirical studies have failed to find consistent evidence of this bias. We tackle this puzzle in a nested model analysis and show that the bias contains an exogenous market component that is unrelated to market‐timing skill. In a comprehensive empirical analysis of US mutual funds, we find that the timing‐induced bias in JA is mainly driven by this market component, which is uncorrelated with measured timing activities. Measures of total performance that allow for timing activities are virtually identical to JA, even if timing activities are present in the evaluated fund. Hence, we conclude that JA is a sufficient measure of total performance.     

Bayesian selection of technology assumptions for the transformation from supply-use to input–output tables

ABSTRACT

In the construction of input–output models from supply-use tables, technology assumptions disambiguate how an industry uses inputs in the production recipe of multiple outputs. This paper uses Bayes' theorem to select technology assumptions, taking into account empirical observations. The paper presents a formulation to explore hybrids between product and industry technology assumptions in product-by-product tables. We then present Markov chain Monte-Carlo techniques to implement the Bayesian method for selecting technology assumptions. We apply the method in a case study using Eurostat supply-use tables of 2004 and 2005, exhibiting a volume of secondary products of less than 13%, and 59 products and industries per country. The results show that the choice of technology is not important, given that there is no strong evidence in favour of any of them.     

险资股权投资的结构性改革研究*——基于险资投资的倒U型效应分析

保险资金作为重要的机构投资者能否发挥促进公司绩效提升的作用在已有研究和监管政策制定上都存在较大争议。本文以2005-2017年A股上市公司为研究样本，发现险资持股比例对上市公司绩效以及估值影响存在显著的倒U型曲线效应，相应机制研究表明险资持股通过显著影响两类代理成本的渠道发挥治理作用。在适度持股比例以下，险资增持能够降低被投资公司管理费用率和其他应收款占比，并提高资产周转率，从而降低两类代理成本；持股超过一定比例反而造成两类代理成本上升。险资持股比例变化对保险机构调研次数的影响则从公司治理参与角度印证了以上结论。对倒U型曲线效应的深入分析既有助于深化对机构投资者影响公司绩效的多重效应和机制的认识，同时为在金融机构层面落实金融供给侧结构性改革、增强险资服务实体经济能力提供参考。     

Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage

We provide a correction to Proposition 1 in Optimal and robust combination of forecasts via constrained optimization and shrinkage, published in the International Journal of Forecasting 38(1):97-116 (2021). This correction has no impact on any other result (neither theoretical nor empirical) provided in the above paper.     

基于模糊多属性群决策的维护方式选择研究

维护方式选择是维护管理中的重要工作之一,合理的维护方式既能达到保障设备的稳定运行,又能同时兼顾其它各个方面的要求。由于对维护方式的评价涉及多个部门、人员和属性,有些指标只是一个模糊的概念,因而采用模糊多属性群决策的方法对维护方式进行优先抉择。本文结合A公司的设备维护方式选择问题,尝试使用模糊多属性群决策折衷算法求解最佳的维护方式。     

Network structure,portfolio diversification and systemic risk

We investigate the effect of portfolio diversification on banking systemic risk, where the network effect is incorporated. We analyze three kinds of interbank networks, namely, random networks, small-world networks and scale-free networks. We show that the effect of portfolio diversification on banking systemic risk depends on interbank network structures and shock types. First, systemic risk increases first and then reduces with the increase of the level of portfolio diversification in the case of the individual shock. Second, in the case of the systemic shock, systemic risk reduces with the increases of the level of portfolio diversification. Third, banking systems with scale-free network structures are the most stable, and those with small-world network structures are the most vulnerable.