Mutual Fund Incentive Fees: Determinants and Effects

We investigate the how and why of performance fee provisions in a free contracting environment such as the Italian mutual fund market until 2006. We find weak support for the hypothesis that these provisions emerge as an economically efficient solution in a rational asset management industry plagued by asymmetric information. They appear to emerge mainly as the product of strategic pricing by asset managers wishing to ease market competition, leverage on investors' sentiment, and hedge their cost structure. Alternatively, fears that managers may opportunistically alter funds' investment policies to maximize the option value embedded in the incentive provisions appear unjustified.     

The Costs and Benefits of Performance Fees in Mutual Funds

Funds with performance fees have annual net risk-adjusted returns of 0.50% below other funds, a result mostly due to funds without a stochastic benchmark against which performance is measured and funds with a benchmark that is easy to beat. For other funds, there is no evidence of underperformance. Performance fee funds charge total expenses, including the performance fee, that are substantially higher than those of other funds. Investors are more likely to punish poor performance in funds with performance fees than in other funds. Our results indicate that even when fees are less regulated, investors can generally be relied upon to make the right choices, but that there are a subset of funds where performance fees are employed to extract additional fees from investors.     

英国投资基金的特点与发展创新

随着资本市场的发展和一系列刺激储蓄和投资的免税计划的实施，英国的基金业在20世纪90年代以来取得了前所未有的迅猛发展，尤其是单位信托增长迅速，推出了一系列创新的品种和投资安排。     

资金互助 普惠民生

农村资金互助社是一种应农民需求而生、农民自主建立的金融组织,其管理监督费用少,只凭借微小利差的小额贷款也能稳步经营,能适应农户分散多样的融资需求。     

The Components of Mutual Fund Fees

Several research studies have found that mutual fund expense ratios decline as funds get larger. This paper decomposes the annual expense ratios of actively managed domestic equity funds into their component fees. Most of the observed decline in total expense ratios comes from the small fees paid to outside service providers and the large majority of this decline occurs for the smallest one third of funds. The largest component of the expense ratio, advisory fees, is essentially constant for larger funds. The second largest component, marketing fees, increases as fund assets grow.     

超额商誉、高管激励与审计收费

基于2011-2018年沪深A股上市公司样本,实证检验超额商誉对审计收费的影响以及高管激励的调节效应.研究表明:超额商誉提高了审计收费,且在民营企业更显著;而高管不同激励方式对超额商誉与审计收费的调节具有异质性:股权激励具有抑制作用,而薪酬激励具有增强效应;从作用机制来看,超额商誉通过增加经营风险和审计投入,进而提高审计收费.     

阳光下的共同基金

再见现金流出 绵绵"熊市"使得美国股票基金资产大幅下挫,由2001年的3.4万亿美元降至2002年底的2.7万亿美元,相对于2000年8月时的顶峰,股票基金资产下降了42%.与全球股市下跌相对应,根据投资公司学会(ICI)的官方调查,2002年美国的股票基金市场出现了自1988年以来的首次净现金流出.     

日本基金业的发展及启示

日本基金业的重大改革和创新基本上都是在股市低迷、基金业发展面临困境时实行的。     

美国共同基金费率体系设计的趋势研究

本文在InvestmentCompanyInstitute(ICI)各年有关基金费率的报告基础上,从费率的基本结构、费率水平以及费率设计的创新趋势三方面总结了美国共同基金自1980年以来在费率方面的变化:由单一前端费用为主,转向灵活调整、适应投资者多样化需求的费率结构和费率水平体系。     

欧盟的证券投资基金立法探究

为保护投资利益，欧盟“投资基金指令”一直将风险分散作为核心内容加以规定。通过创新，修改后的“新指令”在扩大了投资范围的同时，亦同等地加强了对投资的保护。     

The Telling Trades of Mutual Funds

Under the assumption that mutual funds trade at quarter commencement, some funds exhibit and exploit persistent stock selection talent; that is, the stocks purchased consistently outperform the stocks sold, and the higher turnover of these funds indicates that managers are capitalizing on their forecasting abilities. However, any evidence of sustained stock selection skill disappears when alternate trade‐timing assumptions are considered, suggesting that some skilled managers are electing to trade earlier than previously assumed. Overall, the results question the appropriateness of the quarter‐end trading assumption and the validity of existing studies that employ it.     

基金择时能力对绩效的影响

本文从多个角度对基金绩效衡量问题进行了论述,系统地回顾和总结了各种基金绩效衡量的理论与方法.实证分析表明,基金经理带来的选择收益比较明显,基金的择股能力有效地降低了系统风险.     

Mutual Funds and Stock and Bond Market Stability

The unprecedented growth of mutual funds has raised questions about the impact of mutual fund flows on stock and bond prices. Many believe that the equity bull market of the 1990s is attributable to the huge flows of funds into equity mutual funds during this period and that a withdrawal of those funds could send stock prices plummeting. This article investigates the relationship between aggregate monthly mutual fund flows (sales, redemptions, and net sales) and stock and bond monthly returns during a 30-year period beginning January 1961 utilizing Granger causality and instrumental variables analysis. With one exception, flows into stock and bond funds have not affected either stock and bond returns. The exception is 1971–1981, when widespread redemptions from equity mutual funds significantly depressed stock returns. In contrast, the magnitude of flows into both stock and bond funds are affected significantly by stock and bond returns.     

Session Topic: Individual Investors and Mutual Funds

Summary . The modern theory of finance suggests that most investors should put part or all of their money into a “market portfolio” mixed with borrowing or lending. Empirical evidence generally supports the theory, but there are some unanswered questions about the composition of the best market portfolio, about the apparent attractiveness of low risk stocks relative to high risk stocks, and about ways of minimizing transaction costs. Attempts to create a fund based on these principles and to make it available to a large number of investors have uncovered some important problems. Legal costs due to government regulation, the costs of managing a fund, and especially the costs of selling it are all much higher than one might expect. Despite these problems, efforts to create such funds seem destined for eventual success.     

美国共同基金的和变迁与监管

美国共同基金资产在过去20多年间呈爆炸性增长：1979年共同基金资产约1348亿美元，在1999年底共同基金资产约6.8万亿美元，增长了490倍；从1979年到1999年，共同基金数目从564只增长到7700只，美国家庭拥有共……     

Star Ratings and the Incentives of Mutual Funds

We propose a theory of reputation to explain how investors rationally respond to mutual fund star ratings. A fund's performance is determined by its information advantage, which can be acquired but decays stochastically. Investors form beliefs about whether the fund is informed based on its past performance. We refer to such beliefs as fund reputation, which determines fund flows. As performance changes continuously, equilibrium fund reputation may take discrete values only and thus can be labeled with stars. Star upgrades thus imply reputation jumps, leading to discrete increases in flows and expected performance, although stars do not provide new information.     

Fund Manager Succession in Closed-End Mutual Funds

Managing the succession process by the hiring and firing of key executives is one of the important functions of a board of directors. In this research we study successions of fund managers in the closed‐end mutual fund industry. The agency issues inherent in closed‐end mutual funds makes them a unique laboratory for such a study. Our results suggest that while the overall abnormal returns of these manager changes are statistically insignificant, that the returns are more positive for funds with large expense ratios and for funds trading at a discount. We also find the abnormal returns are negatively related to the percentage of inside director stock ownership. Corporate bond funds and international equity funds react more negatively to these announcements than other types of funds. The abnormal returns do not appear to be related to board composition, but board composition does vary across fund type, and may therefore indirectly influence the results.     

Evaluating the Performance of International Mutual Funds

In this paper, we examine the performance of a sample of fifteen U.S.-based internationally diversified mutual funds between 1982 and 1988. Two performance measures are used, the Jensen measure and the positive period weighting measure proposed by Grinblatt and Titman. We find no evidence that the funds, either individually or as a whole, provide investors with performance that surpasses that of a broad, international equity index over this sample period.     

对私募基金合法化的一些思考

世上本没有路，走的人多了，也便成了路。因此，所谓合法化，是给路标上路牌路灯，配备交警防止事故；而绝不是在路口设置关卡、收费站或一封了之。     

Seasonal Patterns in Money Market Mutual Funds

This study analyzes seasonal patterns in tax-exempt and taxable money market mutual fund yields. We document a significant increase in tax-exempt and taxable yields during the last three weeks of December, followed by a significant decrease in yields during the first three weeks of January. The yield changes are associated with a corresponding outflow of fund assets at the end of the year and inflow of assets in the beginning of the year. We also find that tax-exempt yields change systematically around the 15th of April, June and September, which are key individual income tax dates. These results are consistent with liquidity effects associated with year-end wages, dividends, and bonus payments and tax-effects. We also find that institution window dressing contributes to the year-end movements in taxable and tax-exempt fund yields. One implication is that municipalities planning to issue short-term notes and investors in these funds can time their actions to take advantage of these systematic yield changes.