Individual home bias,portfolio churning and performance

This study investigates economic consequences of individual investors’ home bias and portfolio churning in their personal pension accounts. The empirical analysis is carried out within a Heckman style two-stage framework to account for selection bias with respect to individuals’ investment activity, and to allow for an endogenously determined home bias, portfolio churning and performance. Results indicate that home bias induces a worse risk-adjusted performance. Home-biased individuals’ relatively bad performance originates in insufficient risk-reduction, due to a lack of international diversification. A higher degree of portfolio churning also deteriorates performance, despite the fact that churning is not associated with any direct transaction costs. However, home-biased individuals do not churn portfolios as often as individuals with a larger share of international asset holdings, which diminishes the negative effects of home bias on performance. Overconfidence is driven by a return-chasing behavior, where overconfident individuals favor international assets with high historical returns. Individuals with actual skill are more often men than women, are not tempted by high historical returns, and use international assets for the right reason – diversification.     

Limited attention and portfolio choice: The impact of attention allocation on mutual fund performance

This study proposes that the performance of mutual fund managers is linked to how efficiently they allocate attention across assets in their investment set. Motivated by existing models of optimal portfolio choice and rational inattention, we posit that the efficiency of attention allocation increases when a manager chooses larger (smaller) active positions in assets that need more (less) information acquisition effort to resolve uncertainty about future payoffs. We show that the efficiency of attention allocation has a significantly positive impact on future fund performance. Efficient attention allocation has a lesser impact on performance as the total demands on a manager's limited attention increase.     

The effect of social screening on bond mutual fund performance

This study measures the financial impact of screening for environmental, social and governance criteria on corporate bond portfolios. Specifically, the risk-adjusted financial performance of 103 socially responsible bond funds in the US and the Eurozone is compared with a matched sample of conventional funds. During the period 2001–2014, socially responsible bond funds outperform by one-half of one percent annually. An evaluation of fund holdings and a performance-attribution analysis suggest that this outperformance is directly related to the mitigation of ESG risks, which is achieved by the exclusion of corporate bond issuers with poor corporate social responsibility activities. A separation of crisis and non-crisis periods further indicates that the outperformance is especially likely to occur during recessions or bear market periods. We confirm this crisis-related return effect from a sample of socially screened bond indices. Moreover, our results are robust to alternative definitions of sustainability, survivorship bias, fund characteristics and stable in the US and Eurozone sub-samples.     

The information content of portfolio performance history and persistence in fund performance: An examination of rollover funds

This paper examines the relation between past and future performance and explores the optimal past performance information set for a subset of Australian investment funds, namely, rollover funds. Four categories of funds are examined: fixed interest; multi-sector yield; multi-sector balanced; and multi-sector growth. This study extends the performance persistence literature through the use of three methodologies (1) regression analysis;(2) non-parametric contingency tables; and (3) top (and bottom) quartile rankings to explore the information content of fund performance history for groups of funds differentiated by investment objective. The results of the regression analysis suggest that there is evidence in support of persistence in performance for the fixed interest funds (particularly when performance is measured in terms of Jensen Alpha) but much more ambiguous evidence in relation to the multi-sector funds. Contingency table analysis of fund performance histories of varying lengths reveals quite different results depending upon whether raw or risk-adjusted returns are used. Use of raw returns creates an overall impression of performance reversals, whereas use of risk-adjusted returns suggests the existence of performance persistence. Finally, the use of prior period top-quartile and bottom-quartile ranking are found to show strong evidence of persistence in respect to the risk-adjusted performance of fixed-interest funds.     

保险公司资产组合与最优投资比例研究

保险公司收益主要来源于承保利润和投资收益,其中承保利润受政策变动、市场条件等外部环境的影响较大,而投资收益则更多地取决于保险公司的投资能力,因此保险公司如何构建资产组合、如何确定最优投资比例就是获取投资收益最大化的重要因素。本文通过理论推导得出了保险公司的资产组合模型并运用非线性规划求解出最优投资比例,进而根据保险公司的投资数据进行了实证研究,为我国保险公司的资产组合及最优投资比例提供了一个可借鉴的思路。     

Framing and the disposition effect: evidence from mutual fund investor redemption behaviour

Research on decision-making under uncertainty has highlighted that individuals often use simple heuristics and/or exhibit behavioural biases. Specifically, with respect to portfolio decisions, research has indicated that investors are subject to the disposition effect, i.e. they are reluctant to sell assets that have performed poorly (losers) and prone to sell assets that have performed well (winners). We find that the mutual fund investors in our sample are subject to the disposition effect when they withdraw the redemption proceeds from their account, but not when they reallocate the proceeds within the account. The evidence is consistent with Shefrin and Statman’s hypothesis that framing a transaction as a transfer as opposed to a sale mitigates the disposition effect.     

REITs风险收益特征及其资产配置作用

REITs具有“长期收益率高于股票、波动性低于股票”的风险／收益特征，更为重要的是REITs与股票、债券的相关系数低。机构投资者的传统组合中通常只包括债券、股票类证券，加AREITs可使组合优化，即组合有效边界向左上方移动，意味着在相同风险水平下，增加REITs后的组合可获得更高收益，或是为取得相同收益水平，增加REITs后的组合只承担更低风险。     

Information friction and investor home bias: A perspective on the effect of global IFRS adoption on the extent of equity home bias

This paper provides a perspective on the effect of IFRS adoption on the tendency of investors to under-invest in foreign equities. We consider explanations for the equity home bias described in prior research and discuss research relevant to the informational consequences of global adoption of IFRS. Specifically, we evaluate whether IFRS adoption reduces information processing costs or decreases investor uncertainty about either the quality of financial reporting or the distribution of future cash flows. We predict that the effect of any reduction in information processing costs from the adoption of IFRS is likely to be small relative to the effects of other determinants of home bias such as the strength of investor protection mechanisms in foreign countries, behavioral biases toward familiar equities, and informational advantages related to geographical proximity. We argue that the quality of the information that investors have (or perceive they have) decreases with distance, conclude that global IFRS adoption is unlikely to affect home bias, and propose avenues for future research.     

资产配置视角下外汇占款与央行政策研究

本文对外汇占款的变化进行了分析,认为在逐渐市场化的环境下外汇市场各参与方资产配置格局发生了转变,改变了以往央行单独承担外汇占款及外汇资产风险的方式,转而由央行、商业金融机构以及其他部门共同承担,从而有利于减轻央行外汇占款冲销压力、增强货币政策独立性,并为汇率的市场化奠定良好的微观市场基础。     

Applying Portfolio Change and Conditional Performance Measures: The Case of Industry Rotation via the Dynamic Investment Model

This paper applies portfolio change and conditional performance measures to assess the performance of the dynamic investment model in various industry-rotation settings spanning the 1934–1995 period. The dynamic investment model employs the empirical probability assessment approach in raw form. In addition, it incorporates three adjustments for estimation error: James–Stein, Bayes–Stein, and CAPM-based corrections. The tests are unanimous in their conclusion that the excess returns attained by the (unadjusted) historic, the Bayes–Stein, and the James–Stein estimators are (sometimes highly) statistically significant over the 1966–1995 and 1966–1981 sub-periods. This lends support to the idea that the joint empirical probability assessment approach based on the recent past, with and without Stein-based corrections for estimation error, contains information that can be profitably exploited. The relationship of these findings to the extant literature on momentum and contrarian strategies is addressed.     

When time is (not) money: preliminary guidance on the interchangeability of time and money in laboratory-based risk research

The familiar adage that ‘time is money’ may not be entirely accurate according to research involving hypothetical choice: People’s decisions are less sensitive to temporal expenditures and outcomes than monetary ones. We provide a novel examination of whether similar patterns of risky choice are found for time and money when choices are consequential (i.e. monetary outcomes are obtained and temporal outcomes are experienced) – both for one-shot and repeated choices, over gains and losses. On the aggregate, across decision contexts (described and experienced), choices are similar for time and money. However, on the level of the individual, little relationship between risk preferences for time and money are observed. We discuss the theoretical and practical implications of these findings.