Herding in the German Mutual Fund Industry

This paper analyses the trading activity of German mutual funds in the 1998–2002 period to investigate whether German mutual fund managers are engaged in herding behaviour. Another objective of the study is to determine the impact of this herd‐like trading on stock prices. Our results provide evidence of herding and positive feedback trading by German mutual fund managers. We show that a significant portion of herding detected in the German market is associated with spurious herding as a consequence of changes in benchmark index composition. Investigating the impact of mutual fund herding on stock prices, we find that herding seems to neither destabilise nor stabilise stock prices.     

我国证券投资基金羊群行为的实证研究

国外的研究显示，发达国家市场机构投资者的羊群行为并不十分明显。作为新兴市场主体的中国机构投资者在这方面的行为特征如何呢？本文使用经典的LSV方法以及Wermers扩展方法，对我国金融市场上以证券投资基金为代表的机构投资者交易行为进行了实证研究。结果发现，我国证券投资基金之间具有较明显的羊群行为，并具有以下特点：同时使用正负反馈操作策略；在流通盘较大和较小的股票上的羊群行为显著；成长型基金的羊群行为显著等。针对这些发现，笔者探究了羊群行为产生的原因，并提出了一些避免过度羊群行为的措施．     

基金经理更换、股票联动与股票价格

基金经理更换打破了基金共同持股投资组合中股票的关联性,降低了股票收益率相关性,进而影响了股票价格。本文基于基金共同持股和基金经理更换构建了对冲投资组合,获得0.1%的日超额收益率。基金投资组合中股票收益率相关性能够解释这种超额收益率,本文发现基金更换经理后,新基金经理重建投资组合,打破了原投资组合中股票间的关联,股票收益率相关性减弱,基金共同持股程度高的股票价格受到了更大影响。基金的被动流动性冲击不能解释本文的发现。本文的研究表明基金经理变更等基金管理行为通过股票收益率相关性对股票价格产生了重要影响。     

Japanese Corporate Pension Plans and the Impact on Stock Prices

This study focuses on the stock market impact of Japanese corporate decisions to adopt pension plans. Implementing corporate pension plans in Japan is complicated because they are heavily regulated by the government and the traditional lump‐sum‐only severance benefit plans already exist, requiring interfacing newly adopted plans with existing ones. Using the GARCH estimation method, the market model applied in this article for the relatively long period 1975–1995 yields evidence that suggests that the stock market responds to some of the more specific characteristics of adopted plans. Alternative specifications of the pension “event” also suggest that relatively little of the market impact comes from public announcements about pension adoption occasioned by the release of a firm's financial statement.     

Mutual Fund Trading Pressure: Firm‐Level Stock Price Impact and Timing of SEOs

We use price pressure resulting from purchases by mutual funds with large capital inflows to identify overvalued equity. This is a relatively exogenous overvaluation indicator as it is associated with who is buying—buyers with excess liquidity—rather than what is being purchased. We document substantial stock price impact associated with purchases by high‐inflow mutual funds, and find the probability of a seasoned equity offering (SEO), insider sales, and the probability of a stock‐based acquisition increase significantly in the four quarters following the mutual fund buying pressure. These results provide new evidence that firm managers are able to identify and exploit overvalued equity.     

开放式基金对股票市场周期的影响

开放式基金的特点之一就是基金必须随时满足股东的赎回请求,这使得开放式基金的净资产数目变动的可能性和变动的幅度都比较大。因此,长期以来对于开放式基金与股市周期之间的关系一直存在很多争论,很多人担心开放式基金很可能加剧股市周……     

股票价格对信贷冲击的动态影响

本文使用基于马尔科夫区制转移方法的协整模型(MS-ECM和MS-VECM),以长期信贷需求方程为基础,研究了我国信贷市场的稳定状态与非稳定状态。实证结果显示:在信贷市场的非稳定状态中,我国股票价格变化对信贷冲击形成了较为明显的动态影响。这种动态影响的出现除了与西方学者所关注的信贷配给效应有关以外,还与信贷资金流入股市有着密切联系。另外,实体经济与信贷的动态互动可以显著增加信贷冲中击的持续性。基于以上结论,本文提出我国应该整合各种监管资源和政策工具,对股票价格变动引起持续性信贷冲击的现象进行动态预防和监控。     

Mandatory Portfolio Disclosure,Stock Liquidity,and Mutual Fund Performance

We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the May 2004 SEC regulation requiring more frequent disclosure. Stocks with higher fund ownership, especially those held by more informed funds or subject to greater information asymmetry, experience larger increases in liquidity after the regulation change. More informed funds, especially those holding stocks with greater information asymmetry, experience greater performance deterioration after the regulation change. Overall, mandatory disclosure improves stock liquidity but imposes costs on informed investors.     

Measuring Mutual Fund Flow Pressure as Shock to Stock Returns

A large and rapidly growing literature examines the impact of misvaluation on firm policies by using mutual fund outflow-induced price pressure to isolate nonfundamental price variation. I demonstrate that the standard approach to computing outflow-induced price pressure produces a measure that is inadvertently a direct function of a stock's actual realized return during the outflow quarter, raising doubts about its orthogonality to fundamentals. After removing these direct measurements of return, outflows generate a fairly negligible quarterly decline in returns, with no subsequent reversal, and many established results in this literature no longer hold. I provide suggestions for future analysis.     

The Effect of Demand on Stock Prices: Evidence from Index Fund Rebalancing

I examine the effect of demand on stock prices by analyzing the conversion of the TIPs 35 and TIPs 100 exchange‐traded funds into the i60 Fund. This conversion occurred at the Toronto Stock Exchange on March 6, 2000. Forty stocks of the TIPs 100 Fund that were not members of the new units of the i60 Fund were sold to complete this conversion. I find that a decrease in demand produced a permanent stock price decline, which was accompanied by significant abnormal trading volume. The results provide support for the downward‐sloping demand curve hypothesis.     

基金激励机制的变化对股市波动的影响研究

依据中国基金激励机制经历的四个阶段,将1998年4月7日～2011年6月30日分成四个时间段。采用EGARCH-M模型并引入虚拟变量对不同时间段的激励机制进行比较研究,发现在中国基金市场中,固定比率的管理费激励机制对股市波动的影响最小。因此,从股市稳定的角度来说,中国基金市场应采取固定比率的管理费激励机制。     

The Impact of Renminbi Appreciation on Stock Prices in China

Since removal of the peg in July 2005, China has entered a new era of a managed floating exchange rate system. Although many observers have raised concerns about the impact of such a policy change on China's trade surplus, less attention has been paid to its effects on financial markets. This paper investigates the impact of recent renminbi appreciation on stock prices in China since removal of the peg, using threshold cointegration and momentum threshold error-correction model (M-TECM). The results clearly illustrate that no short-run causal relation exists, and an asymmetric causal relationship running from the renminbi/U. S. dollar exchange rate to Chinese Shanghai A-share stock prices in the long run is based on M-TECM. Policy and the broader implications of the findings are discussed.     

Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings

This investigation of the cross-section of mutual fund equity holdings for the years 1991 and 1992 shows that mutual funds have a significant preference towards stocks with high visibility and low transaction costs, and are averse to stocks with low idiosyncratic volatility. These findings are relevant to theories concerning investor recognition, a potential agency problem in mutual funds, tests of trend-following and herd behavior by mutual funds, and corporate finance.     

Optimal Number of Stock Holdings in Mutual Fund Portfolios Based on Market Performance

Among the decisions that most mutual fund portfolio managers make is the number of stocks to hold. We posit that there is an optimal number of stocks for each mutual fund, reflecting the trade‐off between diversification benefits versus transactions and monitoring costs. We find a significant quadratic relation between number of stock holdings and risk‐adjusted returns for U.S. equity mutual fund portfolios during 1992–2000. Moreover, we find that changes in the number of stocks held over time are more highly correlated with mutual fund flows than with funds' investment returns.     

证券基金立法进行时

立法部门审议证券投资基金法草案 新华社 2002年8月23日 保障中国基金业高速、健康发展的重要法律<中华人民共和国证券投资基金法(草案)>,提请九届全国人大常委会第29次会议审议.草案对中国基金的组织和运作方式、保护基金份额持有人的合法权益以及外资参股中国基金管理机构等重要问题作出明确规定.     

《金融工具确认和计量》准则对基金投资的影响

现行会计准则体系中《金融工具确认和计量》准则首次对金融工具的确认和计量做出了相关规定。本文分析了该准则对基金投资可能产生的影响，认为一方面公允价值计量模式将引起基金估值的变化，另一方面公允价值变动可能引起基金分红规模的扩大，这对基金投资者的影响是显而易见的。本文结合这两方面的影响对基金投资提出了相关建议。     

货币供应量对股票价格的影响研究——一个基于VAR模型的实证分析

货币政策是影响股票价格的重要因素之一。本文采用向量自回归模型,通过Johanson协整检验、Granger因果检验、脉冲响应函数和方差分解等计量经济学手段,研究了狭义货币供应量M1对我国股票价格的影响。研究结果表明,货币供应量对股票价格的影响不显著。     

证券投资基金与公司绩效关系研究——基于中国A股上市公司的证据

机构投资者倾向于长期投资和价值投资,可以对上市公司的治理发挥积极作用,从而改善公司绩效。在这种观点的影响下,近年来政府监管部门出台了一系列促进机构投资者发展的政策和措施,中国证券投资基金也出现了大规模增长,那么证券投资基金与上市公司绩效的关系究竟如何是值得我们关注的问题,本文运用面板数据的固定效应模型分析证券投资基金持股比例与公司绩效的关系,并对结果进行稳健型检验。     

The Impact of Analysts' Forecast Errors and Forecast Revisions on Stock Prices

Abstract:  We present a comprehensive analysis of the association between stock returns, quarterly earnings forecast errors, and quarter-ahead and year-ahead earnings forecast revisions. We find that forecast errors and the two forecast revisions have significant effects on stock prices, indicating each conveys information content. Findings also show that the fourth quarter differs from other quarters—the relative importance of the forecast error (quarter-ahead forecast revision) is lower (higher). We also find a marked upward shift over time in the forecast error and forecast revision coefficients, consistent with the I/B/E/S database reflecting an improved quality of both earnings forecasts and actual earnings.     

特定客户资产管理业务对传统公募基金影响分析

本文结合特定客户资产管理业务和传统公募基金在盈利模式等方面存在的较大差异,分析了基金专户理财业务的开展对传统基金业带来的冲击和挑战。笔者认为,管理层应借鉴海外市场专户成功运作经验,进一步细化专户业务监管,严格分离专户业务和公募基金,保持公募基金管理和专户投资的独立运作,从而减少专户业务对传统基金管理的不利影响。