基于多属性分析的高校科研经费全成本核算研究

为提高高校科研项目全成本核算过程中间接成本核算的科学性,合理性和实用性,提出基于多属性分析的高校科研经费全成本计算模型。该模型首先对科研项目及间接成本对象进行多属性分析,然后依据现实情况和历史数据等因素,采用定性定量相结合的方法,构建科研项目的间接成本分摊模型,通过多属性与权值的协调控制,真实准确地进行间接成本的分摊处理。理论分析和实验数据表明,与传统的科研项目经费比例分摊方法相比,该模型统筹兼顾科研项目及间接成本的复杂因素,提高了间接成本核算的科学性和合理性。同时,该模型支持灵活的参数调整和属性扩充,可以方便地与各高校不同的评价指标和计算方法相适应。     

Transparency and International Portfolio Holdings

Does country transparency affect international portfolio investment? We examine this question by constructing new measures of transparency and by making use of a unique microdata set on portfolio holdings of emerging market funds around the world. We distinguish between government and corporate transparency. There is clear evidence that funds systematically invest less in less transparent countries. Moreover, funds have a greater propensity to exit nontransparent countries during crises.     

Regulatory harmonization and the development of private equity markets

This paper introduces a new dataset from 100 Dutch institutional investors’ domestic and international asset private equity allocations. The data indicate that the perceived comparative dearth of regulations of private equity funds impedes institutional investor participation in private equity funds, particularly in relation to the lack of transparency. The data further indicate that the perceived importance of regulatory harmonization of institutional investors has increased Dutch institutional investor allocations to domestic and international private equity funds. The Financieel Toetsingskader (regulation of portfolio management standards such as matching of assets and liabilities) has had the most pronounced and robust effect, followed by Basel II (regulation of risk management and disclosure standards) and the International Financial Reporting Standards (regulation of reporting standards and transparency).     

The state of research on sovereign wealth funds

The new global economic and political environment brings new challenges to sovereign wealth funds (SWFs) and forces them to adopt new strategies to adapt to the environmental changes. This study is a sequel to Fotak, Gao, and Megginson (2017). We focus on the newly produced research on SWFs and confirm the impact of new environmental changes on SWFs' asset allocations and decision-making process. Recent studies on cross-border SWF investments show that SWFs are different from other private institutional investors although no evidence explicitly proves that SWFs have exerted political influence on recipient countries through their cross-border deals. SWFs are improving their transparency. However, the variations in transparency and institutionalization are attributed to the disparities in national culture, political regime, and internal political dynamics. We re-examine the long-term impact of SWF investments on target firms and industries and affirm the necessity to consider the heterogeneity among SWFs. We also survey the research investigating the government's motivations to establish new SWFs.     

Active fund management: Global asset allocation funds

We examine the value of active fund management of global asset allocation funds. We use unique daily data and a modified Sharpe's [Sharpe, W., 1992. Asset allocation: management style and performance measurement. Journal of Portfolio Management 18, 7–19] Return-Based Style Analysis method to create a three-index model. We introduce an alternative method derived from Sharpe to calculate attribution returns that measure active fund management performance. Our results suggest that a sample of global asset allocation funds add value for investors. To determine the estimation ability of our model and the implications for estimated asset allocation decisions, we report historical and cross-sectional root mean square errors, which give positive indications of reliability.     

The wisdom of crowds: Mutual fund investors’ aggregate asset allocation decisions

We find that the aggregate asset allocation decisions of US mutual fund investors depend on economic conditions. Both anticipated economic downturns and periods of turmoil lead investors to direct flow away from risky equity funds and towards lower-risk money market funds. These patterns are markedly stronger for investors in low cost and low turnover funds relative to investors in high cost and high turnover funds, consistent with sophisticated investors being more sensitive to changing conditions. Benchmarked against a buy-and-hold strategy, these asset allocation strategies reduce risk without degrading the risk-return trade-off. Our evidence suggests that individual investors, often dismissed as noise traders, collectively react to economic signals in a sensible manner when determining asset allocations.     

Portfolio preferences of foreign institutional investors

This paper examines the investment allocation choices of actively-managed US mutual funds in emerging market equities after the market crises of the 1990s. We analyze both country- and firm-level disclosure and institutional policies that influence mutual funds’ allocation choices relative to major stock market indices. At the country level, we find that US funds invest more in open emerging markets with stronger accounting standards, shareholder rights, and legal frameworks. At the firm level, US funds are found to invest more in firms that adopt discretionary policies such as greater accounting transparency and the issuance of an ADR. Our results suggest that steps can be taken both at the country and the firm level to create an environment conducive to foreign institutional investment.     

Evaluating the boundaries of SEC regulation

Ostensibly, the SEC's new round of regulatory activity is motivated by a bout of well-publicized business scandals and an explosive increase in financial innovations and instruments. Many critics of the “new” SEC question the proportionality and usefulness of the responses, which move the SEC well beyond reliance on disclosure and promotion of transparency. Others argue that more heavy-handed and far-reaching regulation is necessary given the vast changes in financial markets, the increasing importance of (largely unregulated) hedge funds and private equity, and corporate scandals that allege fraud and deception. This paper provides a rationale for studying recent regulatory changes and for addressing the overarching question of how to define the boundaries of SEC intervention in financial markets. The study provides an overview of papers in this special issue and concludes with suggestions for how policymakers can use research to better evaluate the costs and benefits of regulation.     

Locating decision rights: Evidence from the mutual fund industry

Mutual fund advisors make portfolio decisions for their funds on a daily basis. We examine the location of these portfolio decision rights on two dimensions. First, we consider the geographic location of the decision rights. Second, we consider whether the decision rights remain with an advisor or are allocated to an independent sub-advisor. We argue that the allocation of portfolio decision rights involves a tradeoff between the opportunity cost of not matching decision rights with specific knowledge, and the agency costs associated with moving the decision rights to the specific knowledge. The patterns in the location of decision rights are consistent with the tradeoff being a meaningful determinant of the allocation of decision rights in the mutual fund industry. We also find that funds that are predicted to be sub-advised and are sub-advised outperform those that are predicted to be sub-advised but are not.     

Government spending on research and development in the UK

This paper explores the extent of current UK government spending on science and technology placed in its recent historical context. The allocation of this spending across the different arms of government, the primary purposes of the expenditures undertaken and the extent to which the government performs as well as funds R&D are also explored, with some international comparisons analysed. The political and institutional processes that determine the revealed patterns of expenditure in the UK, the rationales behind such spending and the aims and objectives of the main spending departments are discussed, as is the interaction with EU expenditures on science and technology. The effectiveness of or pay-off to government support of this kind is also considered before future spending plans are addressed.     

The alpha and omega of fund of hedge fund added value

In spite of a somewhat disappointing performance throughout the crisis, investors are showing interest in hedge funds. Still, funds of hedge funds keep on experiencing outflows. Can this phenomenon be explained by the failure of fund of hedge fund managers to deliver on their promise to add value through active management, or is it symptomatic of a move toward greater disintermediation in the hedge fund industry? We introduce a return-based attribution model allowing for a full decomposition of fund of hedge fund performance. The results of our empirical study suggest that funds of hedge funds are funds of funds like others. Strategic allocation turns out to be a crucial step in the investment process, in that it not only adds value over the long-term, but most importantly, it brings resilience precisely when investors need it the most. Fund picking, on the other hand, turns out to be a double-edged sword.     

信息透明度对资本配置效率的影响——来自中国制造业上市公司的经验证据

以2001~2012年沪深两市A股制造业上市公司为研究样本,借鉴Wurgler的资源配置效率估算模型,从盈余管理角度探讨了中国现实制度背景下信息透明度对资本配置效率的影响。实证结果表明,无论是在行业层面还是公司层面,信息透明度与资本配置效率均呈显著的正相关关系,其中以修正的DD模型衡量的盈余管理解释力度最强。进一步采用深交所信息披露考评结果作为稳健性检验的替代指标,结论依然不变。可见,改善上市公司盈余质量,提高信息透明度,是正确引导证券市场资本有效配置的关键。     

Participant reaction and the performance of funds offered by 401(k) plans

This is the first study to examine both how well plan administrators select funds for 401(k) plans and how participants react to plan administrator decisions. We find that, on average, administrators select funds that outperform randomly selected funds of the same type although they do not outperform index funds of the same type. When administrators change offerings, they choose funds that did well in the past, but, after the change, added funds do no better than dropped funds. Plan participants in aggregate change their allocation decisions in a way that accentuates the changes in allocation caused by returns. The change in allocation due to the investment of new money and interfund transfers is about the same size, and in the same direction, as the change due to returns. Participant allocations in aggregate do no better than naïve allocation rules, such as equal investment in each offering.     

The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management

In contrast to single-period mean-variance (MV) portfolio allocation, multi-period MV optimal portfolio allocation can be modified slightly to be effectively a down-side risk measure. With this in mind, we consider multi-period MV optimal portfolio allocation in the presence of periodic withdrawals. The investment portfolio can be allocated between a risk-free investment and a risky asset, the price of which is assumed to follow a jump diffusion process. We consider two wealth management applications: optimal de-accumulation rates for a defined contribution pension plan and sustainable withdrawal rates for an endowment. Several numerical illustrations are provided, with some interesting implications. In the pension de-accumulation context, Bengen (1994)’s [J. Financial Planning, 1994, 7, 171–180], historical analysis indicated that a retiree could safely withdraw 4% of her initial retirement savings annually (in real terms), provided that her portfolio maintained an even balance between diversified equities and U.S. Treasury bonds. Our analysis does support 4% as a sustainable withdrawal rate in the pension de-accumulation context (and a somewhat lower rate for an endowment), but only if the investor follows an MV optimal portfolio allocation, not a fixed proportion strategy. Compared with a constant proportion strategy, the MV optimal policy achieves the same expected wealth at the end of the investment horizon, while significantly reducing the standard deviation of wealth and the probability of shortfall. We also explore the effects of suppressing jumps so as to have a pure diffusion process, but assuming a correspondingly larger volatility for the latter process. Surprisingly, it turns out that the MV optimal strategy is more effective when there are large downward jumps compared to having a high volatility diffusion process. Finally, tests based on historical data demonstrate that the MV optimal policy is quite robust to uncertainty about parameter estimates.     

TACTICAL ASSET ALLOCATION: CAN IT WORK?

Market events of the past ten years have sparked an interest in tactical asset allocation. In the current study we develop and test a model that incorporates currently available information into the tactical asset allocation process. The model provides an estimate of the probabilities that the upcoming market period will be bullish or bearish. Logit analysis is employed to determine which of the various timely and readily available data significantly affect these probabilities. These estimated probabilities are used to suggest the optimal allocations of funds over time between the risk-free asset and the market portfolio. Then, several timing strategies are compared with a buy-and-hold portfolio. An asset allocation strategy based on the probabilities assigned by the logit model appears to achieve greater terminal wealth with less variability of returns. Similar results are obtained for both an initial sample (1962–76 in our model) and a holdout sample (1977–88).     

The performance of hedge funds and mutual funds in emerging markets

Use of short selling and derivatives is limited in most emerging markets because such instruments are not as readily available as they are in developed capital markets. These limitations raise questions about the value added provided by hedge funds, especially compared to traditional mutual funds active in these markets. We use five existing performance measurement models plus a new asset-style factor model to identify the return sources and the alpha generated by both types of funds. We analyze subperiods, different market environments, and structural breaks. Our results indicate that some hedge funds generate significant positive alpha, whereas most mutual funds do not outperform traditional benchmarks. We find that hedge funds are more active in shifting their asset allocation. The higher degree of freedom that hedge funds enjoy in their investment style might thus be one explanation for the differences in performance.     

Has persistence persisted in private equity? Evidence from buyout and venture capital funds

This paper presents new evidence on performance persistence for U.S. private equity (buyout and venture capital) funds. We use high quality cash-flow data from Burgiss's large sample of institutional investors (as of December 2020) which allows us to examine how persistence has changed over more than three decades of fundraising. Venture capital (VC) performance remains remarkably persistent across funds raised by the same general partner (GP). In contrast, buyout funds' performance persistence becomes noticeably weaker over time. The patterns are different when we restrict the analysis to information that would have been available to investors – interim performance on the previous fund at the time a new fund is raised – rather than using final, or latest, performance. We find little evidence of persistence for buyouts, especially post-2000. We continue to find persistence for VC funds though it declines post-2000. The differences are driven by interim performance reported at the time of fundraising being only moderately correlated to final performance and GPs avoiding fundraising when interim performance is poor. Finally, we look at GPs who introduce new fund styles and find that performance is noticeably lower for buyouts (but not VC). Exploring the reasons for these divergent trends in persistence between buyout and VC is a promising area for future research.     

资产配置策略与基金系QDII收益分析

本文从前十大重仓股占比、股票集中度、行业集中度、投资区域集中度、夏普指数等指标研究基金系QDII资产配置策略与其收益的关系。统计数据结果表明,过于集中的资产配置对QDII基金收益产生了负效应。同时,QDII基金在成立时机选择、资产配置和外汇投资战略上都欠妥当。由此可见,对于QDII产品而言,资产组合的构建需要符合分散国内系统性风险的原则,否则不会使QDII这种外汇投资基金具有特殊的优势。     

Comparing Investments in New Transport Infrastructure: Roads versus Railways?

This paper contributes to the debate on investment in transport infrastructure and the allocation of public funds between road and railway projects. We model the two options and provide a consistent framework to appraise investment in typical new inter–urban road and rail projects. Our results suggest that road improvements have substantially higher returns than railway schemes. These findings cast doubt on the rationale of the new transport policy for the UK, which proposes to allocate more public funds to the (private) railways than total new investment in strategic roads.     

The effect of distribution channels on mutual fund flows

The Morningstar fund rating has been reported to affect mutual fund flows in the US markets. This paper finds that flow patterns in Finnish bank-managed funds are significantly different from the patterns in the US. Specifically, non-bank funds attract flows in a manner similar to the US markets, that is Morningstar ratings affect fund flows. In contrast, Finnish bank-managed funds do not exhibit the same relationship between star ratings and flows. The results suggest that in Finland, five-star Morningstar ratings are not regarded as highly as in the US, where good performance attracts significantly higher flows. More significantly, our findings demonstrate the importance of banks' distribution channels in the Finnish financial market.