公司债的非流动性与风险溢价——基于中国的实证研究

本文基于四种非流动性测度,考察了公司债层面和市场层面影响中国公司债非流动性的因素,讨论了公司债非流动性、权益波动率、印花税调整等因素对公司债风险溢价的影响。研究发现,在控制了信用评级和发行人权益波动率后,在截面上只有Amihud(2002)非流动性测度对公司债风险溢价有正的显著影响。此外,公司债发行人权益波动率和2008年的两次印花税调整对公司债风险溢价有正的稳健显著影响。     

Does Sentiment Explain Closed-end Fund Discounts? Evidence from Bond Funds

This paper documents that discounts and premia on closed-end bond funds exhibit the same sensitivity to broad market returns as stock fund discounts. Despite this, stock funds sell on average at discounts from net asset value while bond funds sell at small premia. This pattern calls into question the conclusion that the average level of the discount rate can be rationalized by appealing to the systematic nature of discount risk. These results indicate that appeals to investor sentiment, which have been hypothesized as a source of fund discounts, do not fully resolve the puzzle of closed-end fund discounts.     

Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration

Mandatory disclosure is a regulatory tool intended to allow market participants to assess operational risk. We examine the value of disclosure through the controversial SEC requirement, since overturned, which required major hedge funds to register as investment advisors and file Form ADV disclosures. Leverage and ownership structures suggest that lenders and equity investors were already aware of operational risk. However, operational risk does not mediate flow‐performance relationships. Investors either lack this information or regard it as immaterial. These findings suggest that regulators should account for the endogenous production of information and the marginal benefit of disclosure to different investment clienteles.     

Analyst Activity and Firm Value: Evidence from the REIT Sector

This paper is the first to examine (1) properties of analyst forecasts and (2) effects of analyst following on firm value for all REITs on CRSP, Compustat and I/B/E/S. Our results suggest that REITs operate in an information environment that has changed over time. We find that for periods when the REIT industry was either in the developmental stage (pre-1992), or after other structural changes in the industry (post-2000), more analysts cover REITs and forecasts are more accurate and less biased. Further, we find that mortgage REITs are more transparent than other REIT structures and exhibit properties of analyst behavior that are different from other types of REITs. Our investigation into the effect of analyst coverage on REIT value suggests that analyst coverage increases REIT value (as measured by Tobin’s q) and that the causality does not run the opposite way.

Stock Splits: Evidence from Mutual Funds

Mutual fund splits occur in high-priced funds after unusually high returns. Split factors are related to the deviation of a fund's price from the mean of all fund prices. Post-split prices are below the mean of other funds' prices. Post-split numbers of shareholders and assets do not increase compared with funds having similar rates of asset growth. However, I find evidence that mutual fund splits bring per account shareholdings back up to normal levels. I argue that signaling, liquidity, and tick size theories do not apply to mutual fund splits.     

Relative Liquidity,Fund Flows and Short‐Term Demand: Evidence from Exchange‐Traded Funds

We show that highly liquid Exchange‐Traded Funds (ETFs), especially those that are more liquid than their underlying basket of securities (i.e., positive relative liquidity), are particularly attractive to investors. Using three definitions of liquidity, we find that relative liquidity predicts net fund flows, as well as inflows and outflows positively and significantly. We further document a liquidity clientele among institutional investors: (i) relative liquidity is significantly more important for short‐ than for long‐term investors; and (ii) relative liquidity is inversely related to investors’ average holding duration in the ETFs. These two findings provide evidence that relative liquidity encourages short‐term demand.     

The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings

This article documents the effect on share value of listing on the New York Stock Exchange and reports the results of a joint test of Merton's (1987) investor recognition factor and Amihud and Mendelson's (1986) liquidity factor as explanations of the change in share value. We find that during the 1980s stocks earned abnormal returns of 5 percent in response to the listing announcement and that listing is associated with an increase in the number of shareholders and a reduction in bid-ask spreads. Cross-sectional regressions provide support for both investor recognition and liquidity as sources of value from exchange listing.     

Trade-offs between Asset Location and Proximity to Home: Evidence from REIT Property Sell-offs

The Journal of Real Estate Finance and Economics - We examine property sell-offs by real estate investment trusts (REITs) and find that investors respond favorably to sales of properties located...     

Fund Advisor Compensation in Closed-End Funds

This paper examines the relation between the premium on closed-end funds and organizational features of the funds and advisors, including the compensation scheme of the investment advisor. We find that the fund premium is larger when: (a) the advisor's compensation is more sensitive to fund performance; (b) the assets managed by the advisor are concentrated in the fund in question; (c) the advisor manages other funds with low compensation sensitivity to performance and with low concentration of assets managed by the advisor; and (d) the advisor's compensation contract evaluates performance relative to a benchmark.     

Performance Manipulation and Fund Flow: Evidence from China

In this paper, we assess the relation between fund flow and fund returns in China's open-ended fund industry. Analyzing quarterly data from the period January 2005-December 2012, we construct a simultaneous equation model that captures the endogeneity of current and past returns and flows and find that contemporaneous returns have a key role in determining fund flows. We then estimate the fund performance "manipulation degree" to further investigate the performance manipulation effect on fund flows. We find that manipulated funds can attract an additional flow of money and that, notably, individual rather than institutional investors are more likely to be deceived by manipulative behavior.     

On the Determinants of REIT Capital Structure: Evidence from around the World

The Journal of Real Estate Finance and Economics - Using a sample of REITs from twelve countries around the world, we examine the determinants of REIT capital structure. We investigate...     

Mutual Fund Performance: Evidence from the UK

This paper uses a large sample containing the complete return histories of 2300 UK open-ended mutual funds over a 23-year period to measure fund performance. We find some evidence of underperformance on a risk-adjusted basis by the average fund manager, persistence of performance and the existence of a substantial survivor bias. Similar findings have been reported for US equity mutual funds. New findings not previously documented for other markets include evidence that mutual fund performance varies substantially across different asset categories, especially foreign asset categories. We also identify some new patterns in performance related to the funds' distance from their inception and termination dates: underperformance intensifies as the fund termination date approaches, while, in contrast, there is some evidence that funds (weakly) outperform during their first year of existence.     

Mutual Fund Performance: Evidence from the UK

This paper uses a large sample containing the complete returnhistories of 2300UK openended mutual funds over a 23-year periodto measure fund performance. We find some evidence of underperformanceon a risk-adjusted basis by the average fund manager, persistenceofperformance and the existence of a substantial survivor bias.Similar findings have been reported for US equity mutual funds.New findings not previously documented for other markets includeevidence that mutual fund performance varies substantially acrossdifferent asset categories, especially foreign asset categories.We also identify some new patterns in performance related tothe funds' distance from their inception and termination dates:underperformance intensifies as the fund termination date approaches,while, in contrast, there is some evidence that funds (weakly)outperform during their first year of existence.     

分级基金业绩、反向套利与赎回率

近年来,股票型分级基金遭遇净赎回现象,尤其在股市震荡期间赎回率高达90%,该现象受到了投资者的广泛关注。本文系统梳理了国内外学者有关基金赎回影响因素的研究成果,并选取了我国36只股票型分级基金样本,实证检验分级基金业绩、反向套利与赎回率之间的关系。结果发现:分级基金赎回率与滞后一期基金收益率负相关,而与反向套利机会正相关。     

Measuring Innovation and Product Differentiation: Evidence from Mutual Funds

We study innovation and product differentiation using a uniqueness measure based on textual analysis of prospectuses. We find that small and start-up families have higher start rates than larger families, and their products are more unique. Unique strategies attract more inflows in the first three years, and investors respond more to text-based uniqueness than other measures such as holdings or returns uniqueness. For established funds, word uniqueness has weak negative power for explaining returns, so investors in competitive equilibrium do not sacrifice much performance to get specialized products. Uniqueness attenuates the flow-performance relation, reducing the risk of investor outflows.     

Tax-Efficient Asset Management: Evidence from Equity Mutual Funds

We investigate the relation between tax burdens and mutual fund performance from both a theoretical and an empirical perspective. The theoretical model introduces heterogeneous tax clienteles in an environment with decreasing returns to scale and shows that the equilibrium performance of mutual funds depends on the size of the tax clienteles. Our empirical results show that the performance of U.S. equity mutual funds is related to their tax burdens. We find that tax-efficient funds exhibit not only superior after-tax performance, but also superior before-tax performance due to lower trading costs, favorable style exposures, and better selectivity.     

Risk-Adjusted Performance of Mutual Funds: Evidence from China

In this article, we evaluate the performance of mutual funds in China between 2006 and 2014. We first estimate time-varying abnormal returns of each mutual fund using an active peer benchmark-augmented factor pricing model. An index of riskiness is then estimated and used to calculate the augmented performance measure (APM). By construction, the APM separates the managerial premium of the fund from systematic risk premium, so it is better than the economic performance measure. The APM incorporates information beyond the first and second moments of the distribution of fund abnormal return; therefore, it is more informative than the Sharpe ratio.     

证券投资基金规模适度性研究——基于中国市场的证据

随着社保、养老金等中长期资金的大规模入市,中国公募基金规模面临更快扩张,那么基金规模究竟是可以无限扩张还是存在制约？本文研究发现,基金规模扩张会受到基金经理与投资者之间的委托代理冲突、边际规模报酬递减、投资者大规模赎回的制约。基于此,本文提出了基金管理规模适度区间的概念及其相应计量模型,并借此对2011—2019年间中国公募基金市场规模的适度性进行实证判断和检验,结果显示:(1)中国公募基金的平均管理规模在2015年之前过大,2016年之后趋向适度,而在2019年出现偏小现象。(2)中国基金市场规模适度区间的上、下限呈现逐年减小趋势,但二者的差值,即适度性区间的宽度却逐年增加。(3)规模适度基金的业绩表现远好于规模不足和规模过大两类基金,但市场上的规模适度基金占比则小于另外两类基金。最后,本文就如何提升公募基金,尤其是对安全性和盈利性要求更高的养老保险基金的规模适度性提出了相应对策建议。     

Effects of monetary policy on the REIT returns: Evidence from the United Kingdom

In this paper, we analyze whether a monetary policy based on three main variables (inflation, money supply, and output gap) has a nonlinear impact on real estate investment trust (REIT) markets. In addition, we extend our analysis to examine whether these monetary policy components impact the possibility of boom and bust regimes occurring in the market. Empirically, we propose different Markov-switching model variants to determine the nonlinear time-varying impact of monetary policy on the REIT market. Our results show the monetary policy environment is supposed to affect, on one hand, the REIT returns and, on the other hand, the possibility of boom and bust markets. We prove that expansionary monetary policy has an impact only in the case of boom market. However, an increase in the inflation rate decreases the probability of remaining in the bust regime. As a consequence, we have already outlined several monetary transmission mechanisms that show house prices to have important effects on aggregate demand. Our results confirm that REIT markets are not efficient.     

Fund ESG performance and downside risk: Evidence from China

Whether responsible investing reduces portfolio risk remains open to discussion. We study the relationship between ESG performance and downside risk at fund level in the Chinese equity mutual fund market. We find that fund ESG performance is positively associated with fund downside risk during the period between July 2018 and March 2021, and that the positive relationship weakens during the COVID-19 pandemic. We propose three channels through which fund ESG performance could affect fund downside risk: (i) the firm channel in which the risk-mitigation effect of portfolio firms’ good ESG practices could be manifested at fund level, (ii) the diversification channel in which the portfolio concentration of high ESG-rated funds could amplify fund downside risk, and (iii) the flow channel in which funds’ better ESG performance may attract greater investor flows that could reduce fund downside risk. We show evidence that the observed time-varying relationship between fund ESG performance and downside risk is driven by the relative force of the three channels.