公募基金年末业绩追逐与风险调整行为研究

本文研究了我国公募基金追逐年末业绩对其风险调整行为的影响以及公募基金提高投资组合风险对业绩表现的影响,探讨了公募基金对高风险的追求是否能够带来更好的年末业绩.研究发现,前三季度表现较差的公募基金、资金净流入量较大的公募基金倾向于在最后一个季度提高投资组合的风险;而公募基金在最后一个季度提高投资风险的策略并不能够显著改善其年终业绩表现.     

证券投资基金绩效评价方法及实证分析

为考察中国证券投资基金是否取得了超越基准市场市场指数的表现、中国基金是否为投资者创造了价值 ,主要采用 3大经典的风险调整绩效衡量指标对 10只样本基金及基准市场在 2 0 0 2年的表现进行相关计算和排序 ,同时还对基金的择券和择时能力及其投资风格进行了讨论和分析。结论表明有些证券投资基金在 2 0 0 2年投资业绩不如市场 ,投资风格与所宣称的也有较大出入 ,基金投资管理能力及其风格均有待提高和稳定。     

Ethical Screening and Financial Performance: The Case of Islamic Equity Funds

Poor working conditions remain a serious problem in supplier facilities in developing countries. While previous research has explored this from the developed buyers’ side, we examine this phenomenon from the perspective of developing countries’ suppliers and subcontractors. Utilizing qualitative data from a major knitwear exporting cluster in India and a stakeholder management lens, we develop a framework that shows how the assumptions of conventional, buyer-driven voluntary governance break down in the dilution of buyer power and in the web of factors rooted in suppliers’ traditions, beliefs, local demands and resource dependency. We reveal out how success in governing collaborative global supply chains often falls short within the subcontracting stage, where a stakeholder management mindset is elusive to most participants. We suggest that success in governing collaborative global supply chains is dependent on concepts of stakeholder utility and the presence of shared value that is often at odds with the realities of power, information asymmetry and compliance/reward systems inherent in the non-market coordination of global supply chains. Our findings offer important insights for delineating the concepts of value creation from CSR concepts and practices, and for modifying the basic assumptions of conventional supply chain governance.     

Commodity Markets and Commodity Mutual Funds

Fundamental economic factors—market demand and supply conditions—provide the most consistent explanation for trends in commodity prices from 2004 to 2011. This paper presents empirical evidence that the rise and fall of commodity prices on a monthly basis can be strongly linked to the value of the U.S. dollar and the world business cycle—in particular, to the strength or weakness in emerging market economies such as China, Brazil, India, and Russia. Despite concerns raised by some policymakers that increased commodity index investment (the financialization of commodities) has driven commodity price movements, numerous academic studies have concluded that index-based investing has not moved prices or exacerbated volatility in commodity markets in recent years. An examination of weekly and monthly net flows into commodity mutual funds reveals that these flows have little or no effect on the overall growth rate of commodity prices. In particular, weekly flows into commodity mutual funds do not lead to future commodity price changes. These results are consistent with academic papers that find little or no impact of commodity index investors on commodity prices in individual markets. The paper concludes by briefly discussing three key factors that illustrate why flows into commodity mutual funds cannot explain commodity price movements.     

Securities Lending Activities in Mutual Funds and ETFs: Ethical Considerations

Securities lending has been a lucrative business for mutual funds and exchange-traded funds (ETFs) over the past decade. Unfortunately for investors, the sponsors of these funds have not been very transparent with the details of their securities lending programs, and consequently most investors in these funds are unaware of their exposure to the risks inherent in securities lending. Interestingly, most funds do not return the full profits from securities lending activities to their investors. In this paper, we examine and discuss the ethical considerations related to the securities lending activities of mutual funds and ETFs and offer a series of best practices that we believe will provide better transparency of these activities to fund investors.     

Managerial Resource Allocation and International Performance

Abstract

The “global village” phenomenon has resulted in an increase in the number of articles devoted to examinations of international marketing strategy and, importantly, to its impact on international performance. Notably, previous research has examined the impact of standardization (versus adaptation) and the content of marketing strategies on performance. There is little empirical work on the relationship between the resource devoted to international operations and the success achieved in these operations. Given the important performance implications of this relationship, the research reported here adds to this limited body of research. First, it uses three measures of resources allocated to international operations, including international strategic planning, an underutilized construct in international research. Second, it includes two performance dimensions: objective and subjective (satisfaction). Third, it examines the relationships between allocated resources and the two performance dimensions. Finally, it examines these relationships in Israel, thus extending the generalizability of previous research. The relationship is tested with data from Israeli respondents to a mail survey. The results are used to generate international research and managerial implications.     

The Relationship Between Corporate Social Performance, and Organizational Size, Financial Performance, and Environmental Performance: An Empirical Examination

The purpose of this study is to examine the relationship between the corporate social performance of an organization and three variables: the size of the organization, the financial performance of the organization, and the environmental performance of the organization. By empirically testing data from 1987 to 1992, the results of the study show that a firm's corporate social performance is indeed impacted by the size of the firm, the level of profitability of the firm, and the amount of pollution emissions released by the firm.     

Fed Funds Rate Surprises and Financial Markets

This paper investigates the sensitivity of various financial markets to surprises in the federal funds rate. We employ the methodology outlined by Kuttner [2001] to reevaluate prior results and expand the analysis to include data up until the financial crisis, inclusive. Our data set includes additional events to previous studies, which led our results to differ than those earlier studies. For our sample excluding the financial crisis (1994–2007), we found that Fed funds surprises had a significant effect on the percent change in the S&P 500 index, but generally had little significant effect on Treasury yields and the trade-weighted dollar. We also studied a decomposition of the yield curve and found that the lack of significant effect on Treasury yields was a result of the offsetting effects of surprises on the term premium and risk-neutral yield. In addition, our analysis of the financial crisis revealed several shifts in the response of many asset classes, likely a result of the large signaling effects contained in monetary policy combined with the extraordinary events that were occurring.     

高管过度自信、财务柔性与企业价值

随着国内外经济环境不确定性的增加,高层管理者的心理特质对企业经营的影响越来越大,财务柔性也越来越受到企业的重视.本文选取2012～2016年A股上市公司数据为样本,对高管过度自信、 财务柔性与企业价值的关系进行了实证检验.研究结果表明:高管过度自信与财务柔性显著正相关;过度自信和财务柔性均可以提升企业价值;财务柔性是高管过度自信作用于企业价值的一个中介变量.因此,为了达到高管过度自信提升企业价值的目的,企业必须适度储备财务柔性,以将其控制在合理的水平之上.     

The Influence of Environmental Management Systems on Financial Performance: A Moderated-Mediation Analysis

This study utilizes hierarchical regression analysis to explore how environmental management systems (EMSs) influence financial performance through customer satisfaction and customer loyalty, and the moderating effects of switching cost. The originality of the present research is to unpack the “black box” through which a firm can profit from EMSs. The empirical results indicate that EMSs have positive and significant impacts on customer satisfaction, customer loyalty, and financial performance. In addition, switching cost negatively and significantly moderates the relationship between EMSs and customer satisfaction, but does not significantly moderates the relationship between EMSs and customer loyalty. The results also demonstrate that customer satisfaction and customer loyalty partially mediate the relationship between EMSs and financial performance. Our findings highlight that customer satisfaction, customer loyalty, and switching cost play important roles for a firm to profit from EMSs.     

The Distribution of IPO Holdings Across Institutional Mutual Funds

We examine initial public offering (IPO) holdings in the mutual funds of four large investment banks and five large non-investment banks during the period 1997 through 2002. Investment banks hold IPOs with different characteristics than IPOs held by non-investment banks, and they also tend to hold IPOs in different types of funds than non-investment banks. We classify holdings as to whether the IPO lies outside or inside the fund’s objective. Investment banks hold IPOs outside the fund objective in 27% of the fund/IPO pairs while non-investment banks hold outside their objective in just 5.4% of fund/IPO pairs. We see significant differences in IPO underpricing for both groups as well. For example, when non-investment banks hold IPOs outside a large capitalization fund objective, they select IPOs with 52% higher underpricing as measured by first-day returns.     

Managerial Buyouts, Incentives And Performance

The managerial buyout (MBO) is a means of motivating senior managers and institutional investors to increase their monitoring efforts and so raise the performance of the firm. This paper suggests that the typical MBO contains a mix of incentives which motivate managers by raising the rewards for success and increasing the penalties for failure. At the same time, the relationship between the new company and its institutional backers encourage the latter to monitor the efforts and achievements of the management team. Such a structure appears useful in raising the performance of divested divisions, particularly in mature industries.     

Pricing of Mutual Fund Services in Retirement Plans: Evidence from Open-End Equity Funds

Management fees of mutual funds are more costly to investors than is often realized. Moreover, research indicates that in many cases, the fees are not related to performance, contrary to what might be expected from an efficient market. This study uses sample data to illustrate the consequences of inefficiency to an individual investor. It then turns to an empirical examination of the determinants of the ratio of management fees to total assets (MER), investigating market concentration, fund performance, and non-performance characteristics as explanatory variables. All of these classes of variables contributed to the variation of MERs . JEL Classification G23     

Australian Socially Responsible Funds: Performance,Risk and Screening Intensity

We investigate the performance and risk of Socially Responsible Investment (SRI) equity funds in the Australian market and find no significant difference between the returns of SRI and conventional funds. In an extension to prior literature, we examine the impact of the number of positive, negative and total screens funds impose on performance and risk. We find little evidence of positive or negative screening impacting total return, but find weak evidence that funds with more screens overall provide better risk-adjusted performance. Positive screening significantly reduces funds’ risk. However, negative screening significantly increases risk and reduces funds’ abilities to form diversified portfolios.     

简论推进财政支农资金整合的模式选择——对陕西五县(区)财政支农资金整合的调查与思考

陕西省财政支农资金整合的实践经验,是根据当前农业农村发展的状况,财政支农资金的分配格局,以及农业建设项目的管理现状总结出来的,提出现阶段财政支农资金整合可选择的三种模式:项目带动支农资金整合模式、产业带动支农资金整合模式和地域建设带动支农资金整合模式。     

The Harm of Symbolic Actions and Green-Washing: Corporate Actions and Communications on Environmental Performance and Their Financial Implications

We examine over 100 top performing Canadian firms in visibly polluting industries as we seek to answer four research questions: What specific environmental issues are firms addressing? How do these issues differ between industries? Are both symbolic and substantive actions financially beneficial? Does green-washing, measured as the difference between symbolic and substantive action, and/or green-highlighting, measured as the combined effect of symbolic and substantive actions, pay? We find that substantive actions of environmental issues (green walk) neither harm nor benefit firms financially, but symbolic actions (green talk) are negatively related to financial performance. We also find that green-washing (discrepancy between green talk and green walk) has a negative effect on financial performance and green-highlighting (concentrated efforts of the talk and walk) has no effect on financial performance. In this article, we provide explanations of our findings and put forth future research directions.     

认知能力、社会互动与家庭金融资产配置研究

以中老年人群为研究对象,运用CHARLS数据,构建金融资产选择因素模型,重点研究计算能力和记忆力度量的认知能力与社会互动水平对家庭金融资产配置的影响.结果表明:由于风险金融资产的高信息密度,基础数学计算能力对风险金融资产持有的影响并不显著,但记忆力无论在全样本还是区分人群样本中均显著促进了家庭金融资产的配置;与内在的认知能力相比,外在的社会互动对家庭金融资产配置的促进作用更加明显,特别是老年家庭的风险资产持有.该结论对不断完善资本市场、加强养老保障体制中“社区养老文化”建设、普及金融素养教育以及金融机构养老理财产品的设计具有很强的现实意义.     

The Performance of European Socially Responsible Funds

Recent years have witnessed an increasing growth in mutual funds that invest according to social criteria. As a consequence, the financial performance of these portfolios has attracted the interest of academics and practitioners. This paper investigates the performance of a sample of socially responsible mutual funds from seven European countries investing globally and/or in the European market. Using unconditional and conditional models, we assess the performance of these funds in comparison to conventional and socially responsible benchmark portfolios. The results show that European socially responsible funds present in general neutral performance in relation to both conventional and socially responsible benchmarks. However, performance estimates seem to be slightly higher when funds are evaluated in relation to socially responsible indices. Our results also show that socially responsible funds are more exposed to conventional than to socially responsible indices. Furthermore, conventional benchmarks are better able to explain fund returns than socially responsible benchmarks. These findings are robust to both unconditional and conditional models of performance. We also observe that conditional models lead to a slight improvement of performance estimates and to the explanatory power of the models, both when conventional and socially responsible benchmarks are considered. This is consistent with most previous empirical findings on conditional performance evaluation. Our results show that investors who wish to hold European funds can add social screens to their investment choices without compromising financial performance.     

我国开放式基金业绩持续性的实证检验

本文运用绩效二分法和横截面回归方法对我国开放式基金的业绩持续性进行了检验。实证结果发现,我国开放式基金从总体上看业绩持续性不强,业绩持续性只是在短期内出现,基金经理不能连续战胜市场。此外,开放式基金在短期内还有显著的业绩反转现象产生,说明很难根据基金过去的收益来判断其未来的业绩。     

封闭式基金业绩持续性研究

采用基于横截面回归的方法,考察1999年12月至2003年6月间的20只封闭式基金的业绩,从单位净值收益率和市价收益率两个方面研究基金业绩的持续性。检验结果显示,以基金单位净值收益率衡量,封闭式基金在样本期间内并未表现出显著的持续性,但如果以基金市价收益率衡量,封闭式基金的收益率在样本期间在中短期内呈现出显著的反转性。