封闭式基金折价问题的研究

无论在国外成熟证券市场还是在我国证券市场上,封闭式基金的折价都是普遍存在的。建立基金定价模型,能以期对封闭式基金的折价作出合理的府释。     

Leaders and followers: emerging market fund behavior during tranquil and turbulent times

Recent episodes of capital market volatility and contagion have brought up many questions about the behavior of international investors. We address some of these questions, exploring the behavior of different types of emerging market equity funds with monthly data on individual country holdings. Consistent with the notion that fund behavior can largely be traced to redemptions by individual investors, we find that open-end funds withdraw more from vulnerable countries around crises than their closed-end counterparts. We show that open-end funds’ flows Granger-cause closed-end funds investments, possibly because the closed-end funds are forced to follow their more fickle open-end counterparts. Single-country fund flows precede those of global funds, suggesting an informational advantage of the former. The evidence does not support the notion that small funds are at a disadvantage in gathering country information.     

Pay-performance sensitivity and risk-taking behaviors: Evidence from closed-end funds

The pay-performance sensitivity (PPS) of managers of closed-end funds is explicitly specified in their contracts as the marginal rate of the funds' net asset value. Using a sample of US closed-end funds from 2006 to 2009, this paper investigates the relationship between the PPS and risk-taking behaviors of fund managers. After controlling for endogeneity, we find that fund return volatility and fund PPS positively determine each other. Furthermore, the positive relationship is more pronounced for closed-end funds engaging in alternative investments or in emerging markets.     

Does mutual fund investment influence accounting fraud?

Does mutual fund investment deter accounting fraud? Using a bivariate probit model, this study examines the relationship between mutual funds and accounting fraud between 2007 and 2014. We observed mutual fund investment has significantly higher levels of fraud detection, reducing firms' propensity to commit fraud. This validates Chinese regulators' efforts to develop mutual funds to address accounting fraud. Open-end mutual funds outperform closed-end mutual funds in detecting accounting fraud and reducing fraud commission; redeemable shares appear to discipline managers. This effect is moderated by state ownership of listed firms: mutual funds cannot effectively detect fraud in state-owned firms.     

Socially Responsible Investing: A Critical Appraisal

This paper makes three important points regarding socially responsible investing. First, the current methodology involving SRI fund divestiture of the securities of firms that engage in socially irresponsible activity often results in unacceptable unintended consequences. Second, in many cases the proper methodolgy for SRI funds may be purposely to include the securities of such firms in the portfolio in an effort to internalize socially irresponsible interfirm spillovers. Finally, that SRI fund managers may be able to bond their performance by organizing as closed-end funds subject to takeover and liquidation if the stated socially responsible objectives are not met.     

An Overview of the U.S. Regulated Fund Industry

The largest segment of the asset management business in the United States is registered investment companies (regulated funds). This article focuses on U.S. regulated investment companies—mutual funds, exchange-traded funds, closed-end funds, and unit investment trusts. These funds manage more than $17 trillion of assets, largely on behalf of U.S. investors. The industry has experienced strong growth over the past quarter century from asset appreciation and strong demand from households due to rising household wealth, the aging of the U.S. population, and the evolution of employer-based retirement systems. Price competition and supply-side product innovations and efficiencies have reduced the average price that investors pay for fund services.     

Incubation and copying equity funds in China

This study provides evidence on incubation practices in Chinese equity funds and examines the profitability of copying funds. The empirical findings are as follows. First, the incubation practice is evident among Chinese equity funds. Second, our findings exclude the profitability of copycat funds. An advisory company's fund incubation makes it harder to free-ride on new funds than to free-ride on old funds. Third, the logit analysis shows that copying could be successful for those funds with low performance or low turnover ratios. Finally, incubation is generally undertaken for new funds in a bullish market.     

The Risk-Return Relationship of Pension Funds With Investments in Hedge Funds

This article investigates if investing in local hedge funds improves the risk-return relationship of Brazilian pension funds. Investment in hedge funds by pension funds is growing elsewhere, with an increasing utilization of a multiplicity of hedge funds specialized in specific strategies or niches. We analyzed the performance of a typical pension fund allocation in Brazil as well as alternate allocations that included hedge funds. We used robust estimates of the covariance matrix to mitigate the errors in variables that are problematic in the inputs of the optimization. The results show that hedge funds improve the risk-return relationship of the typical pension fund allocation, contribute to a higher accumulated return at the end of a one-year period, and reduce portfolio rebalancing. Investments in hedge funds ease reaching the typical 6% annual return target with less risk exposure.     

创新型封闭式基金风险特征变化研究——基于高阶期望损失风险测度

在分析当前封闭式基金创新特点的基础上,运用满足一致性公理的高阶期望损失风险测度对创新型封闭式基金的风险特征进行度量,并与传统封闭式基金进行实例对比,结果发现创新型封闭式基金的波动风险明显低于传统封闭式基金,其间存在广义随机占优关系,这说明封闭式基金的创新方案确实改变了其风险特征,有助于解决折价率过高问题。     

The Use and Abuse of Mutual Fund Expenses

Prior research shows that mutual fund investors are often aware of up-front charges like sales loads, but they are less mindful of annual operating expenses, even though both types of fees lower overall performance. This study documents the historical trend and recent abuse of annual mutual fund expenses. As the industry becomes more adept at segmenting customers by level of investment sophistication, we claim that load mutual fund companies take advantage of this ability and charge higher expenses to their target customer: the less-knowledgeable investor. No-load fund companies, which tend to attract the more sophisticated investor, offer lower expenses. For example, over 2000–2004 the average annual expense ratio of load equity funds was 50 basis points higher than no-load equity funds. We show evidence of this widening cost disparity since the early 1990s among new and existing equity, bond, and index funds. We also document a growing abuse of sales distribution or 12b-1 fees among funds that are closed to new investors, almost all of which are load funds. Thus, load fund investors are more susceptible to paying higher expenses and receiving lower returns over time. Todd Houge is an Assistant Professor of Finance at the University of Iowa. Jay Wellman is an Assistant Professor of Finance at Binghamton University.     

Private equity performance and capital flows: Evidence from China

For more than 1500 private equity funds in China over the period from 1992 to 2013, we construct fund level performance metrics with investment level return data and examine performance and capital flows. The median (mean) fund IRR, net of fees, is 9.0% (51.7%), based on a sample that controls for survivorship bias. Fund IRRs are neither related to fund own characteristics, such as fund size, nor to overall market conditions around the time when the fund is raised. Competition reduces fund performance: returns are lower when there are many competitors entering the industry at the same time. Although experienced partnerships are more likely to raise a follow-on fund and to raise more capital, fund performance is not related to general partnership (GP) investment experience. Further, there is no performance persistence across funds managed by the same GP. Lastly, there is some evidence of investor maturity when judged on GPs' historical performance. This evidence characterizes a burgeoning yet immature PE industry in China.     

Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey

Recent literature shows that the holy month of Ramadan exerts a positive influence on investor sentiment in predominantly Muslim countries. This anomaly has been found to be particularly pronounced in Turkey. We therefore examine whether mutual fund managers investing in Turkish stocks are able to benefit from the Ramadan effect. We find that risk-adjusted performance of domestic institutional funds, hybrid funds and foreign Turkish equity funds is substantially higher during Ramadan compared to the rest of the year. By contrast, domestic index funds fail to deliver higher abnormal returns as they are adversely affected by increased money inflows during Ramadan.     

The Drivers of Responsible Investment: The Case of European Pension Funds

We investigate what drives responsible investment of European pension funds. Pension funds are institutional investors who assure the income of part of the population for a long period of time. Increasingly, stakeholders hold pension funds accountable for the non-financial consequences of their investments and many funds have engaged in responsible investing. However, it appears that there is a wide difference between pension funds in this respect. We investigate what determines pension funds’ responsible investments on the basis of a survey of more than 250 pension funds in 15 European countries in 2010. We use multinomial logistic regression and find that especially legal origin of the country, ownership of the pension fund and fund size-related variables are to be associated with pension funds′ responsible investment. For fund size, we establish a curvilinear relationship; especially the smallest and largest pension funds in the sample tend to engage with responsible investing.     

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.     

The performance of socially responsible equity mutual funds: Evidence from Sweden

This paper presents a comprehensive analysis of socially responsible (SR) funds in Sweden by assessing fund managers' abilities and performances across different market states. These issues are analyzed at the aggregate and individual fund levels. The paper also presents several new statistical tests that allow more precise inferences about differences in performance and the variability in fund returns arising from different benchmarks. In general, SR and conventional funds perform similarly to the market. At the aggregate level, SR funds investing in Sweden and Europe perform similarly to conventional funds, while those investing globally tend to underperform. This underperformance seems to be linked with poor selectivity abilities of global SR fund managers. For individual funds, the performance of both types of funds is more similar. Most funds perform similarly in crisis periods compared to non‐crisis periods. Overall, our results are consistent with a mature market for SR investing and support the view that the similar performance of SR and conventional funds is associated with the mainstreaming of SR investment in Sweden. These findings encourage SR investing both by socially conscious investors, who wish to align their social values with their investment decisions, as well as by conventional investors, who will not be penalized by investing in these funds. We also call attention to the difficulties investors face when trying to identify funds with high social standards, considering that there is scarce information on the extent to which each fund (SR or conventional) holds stocks that comply with ethical and social criteria.     

VaR在我国开放式基金绩效评价中的应用研究

通过按照开放式基金的种类,选取一级市场上30只开放式基金为样本,采用基于VaR的RAROC方法,运用统计学软件Eviews中处理厚尾现象著称的GARCH模型进行统计分析,得出的结论是:成长型基金的绩效低于股票基金标准;平衡型基金和收入型基金的RAROC值相对较高,超过了股票基金标准;指数型基金的绩效超过股票标准(市场数据);在债券种类中,债券基金的绩效最高。     

Equity-worthiness and equity-willingness: Key factors in private equity deals

While access to private equity funds (PEFs) provides a unique opportunity for firms to set up sturdy growth paths, how PEFs select companies is an unknown process to entrepreneurs and business owners. This study aims to offer insights regarding the private equity market to entrepreneurs searching for external capital. We analyzed a novel dataset of 240 pre-deal negotiations between small- and medium-sized Italian companies and a closed-end fund. Results indicate that the successful closing of a deal depends on more than just the target firm's equity-worthiness (i.e., the company's ability to meet the expectations of a private equity investor). In fact, there is another dimension: the target firm's equity-willingness (i.e., the company's motivations to accept an outside equity investor). We summarize the results of our study by building a 2x2 positioning matrix on the basis of the target firm's equity-worthiness and equity-willingness. This matrix enables entrepreneurs to grasp how private equity investors evaluate their firms.     

The Canadian Hedge Fund Industry: Performance and Market Timing

We analyze the risk and return characteristics of Canadian hedge funds based on a comprehensive database we compiled. We find that Canadian hedge funds have higher risk‐adjusted performance and different distributional characteristics relative to the global hedge fund indices. We investigate market timing by Canadian hedge funds and find that they do not time the Canadian or global stock and bond markets, but hedge funds in the Managed Futures strategy group time the commodity market. These results are robust to parameter instability and structural changes in the model. We also illustrate the impact of using local and global risk factors to analyze the performance of local investment firms.     

Spanish mutual fund fees and less sophisticated investors: examination and ethical implications

Some mutual funds not only apply the usual asset management and custodial fees, but also front loads and redemption fees as a kind of 'toll charge' payable on entering and/or leaving the fund. The aim of this work is to examine the implications of the different loads and fees applied to mutual fund investors in the Spanish market. The results show that there is a relationship between the various charges and fees. The fact that load fund companies charge higher management and custody fees proves the potential of the fund companies to impose higher fees on a segment of the clientele. The investors in load funds, which tend to be large in number of shareholders and belonging to banks and savings banks, are small investors who show a low cost sensitivity. A lower level of financial sophistication may be the reason for the apparent lower price awareness. The problem is that the investors in load funds are not financially compensated for the extra cost represented by the front-load and redemption fees. The only beneficiary seems to be the financial institution itself. On this view, the survival of load funds seems to depend on the lack of financial sophistication of their clientele, combined with market inefficiencies. It is worth asking about the ethics of a situation of market segmentation that allows managing institutions to benefit from the segment of the least sophisticated investors.     

Harmony,Justice, Confusion,and Conflict in Family Firms: Implications for Ethical Climate and the “Fredo Effect”

In this study, we analyze the financial performance and the managerial abilities of religious mutual fund managers, implementing a comparative analysis with conventional mutual funds. We use a broad sample, free of survivorship bias, of religious equity mutual funds from the US market, for the period from January 1994 to September 2010. We build a matched-pair conventional sample in order to compare the results obtained for both kinds of mutual fund managers. We analyze stock-picking and market timing abilities, topics widely neglected for the specific case of religious mutual fund managers. We also study style timing abilities. As far as we are aware, this aspect has not been studied previously for religious mutual fund managers. Our results indicate that religious mutual fund managers underperform both the market and their conventional counterparts. This result is driven by negative stock-picking ability which could be generated by excluding “Sin” stocks from their portfolios. Moreover, they are not able to time the market or any of the following styles: size, book-to-market, and momentum.