Investment Horizon Effects

Abstract:   Boudry and Gray (2003) have documented that the optimal buy‐and‐hold demand for Australian stocks is not necessarily increasing in the investment horizon when returns are predictable. Such finding is in contrast with Barberis (2000) who shows that positive monotonic horizon effects predominate for US stocks. Using a closed‐form approximation to the asset allocation problem, this paper relates the return dynamics to the investor's portfolio choice for different investment horizons. In the special case of a single risky asset, it is shown that return predictability under stationarity may induce both positive and negative horizon effects in the optimal allocation to the risky asset. The paper extends previous empirical results by solving for the optimal portfolio when two risky assets with predictable returns are available for investment.     

证券投资基金投资组合与投资策略的匹配性研究

对证券投资基金行为选择的研究，一直是金融经济学关注的焦点问题之一。本文对我国证券投资基金投资组合的构建和调整与其投资策略的匹配性问题进行了研究，发现绝大部分证券投资基金存在实际投资所承担的风险远远偏离其投资策略所表明的风险偏好类型。同时，由于市场环境的变化，无论是风险偏好型还是风险中性的基金，在实际投资中大多转型成了风险规避型基金。     

International investment patterns: Evidence using a new dataset

This paper examines the bilateral, source and host factors driving portfolio equity investment across a set of countries using International Monetary Fund's new dataset on international equity holdings at the end of 1997, 2001 and 2002.The paper finds that the bilateral equity investment is strongly correlated with the underlying patterns of trade in goods and services. The information asymmetries and cultural-institutional proximity are important for bilateral equity investment. The size of domestic stock market is the key correlate of aggregate foreign portfolio equity asset and liability holdings. The scale of aggregate foreign equity asset holdings is larger for countries having high income per capita.     

Institutional Investor Trading in a Short Investment Horizon: Evidence from the Korean Stock Market

We examine the weekly trading activities of institutional investors in the Korean stock market. First, we find that average net trades by institutional investors this week are negatively related to one-week lagged returns, suggesting that they could be contrarian traders. Second, our finding shows that institutional investors’ net trades this week are positively related to the net trades next week, consistent with persistent trading and/or herding behavior. Third, we find that institutional net trades are positively related to the post one-week returns. Finally, our findings are most pronounced in the group of short-term institutional investors.     

Dynamic Portfolio Selection: the Relevance of Switching Regimes and Investment Horizon

This paper investigates the questions of dynamic portfolio selection and intertemporal hedging within a Markovian regime‐switching framework. The investment opportunity set is spanned by a well‐diversified home‐market portfolio and the risk‐free asset. Our results highlight the economic importance of regimes, as optimal portfolio weights are clearly dependent on the prevailing regime. We present evidence that the question of intertemporal hedging is a more complex issue than is hinted in the previous literature, since demand for intertemporal hedging is present in some regimes, but not in others. Finally, our main findings are qualitatively unchanged across the four largest stock markets in the world.     

基于规模与风格的证券投资基金最优组合构建研究

本文选择中国2004年10月1日前成立的8种投资风格共133只证券投资基金,根据其在2005年1月1日-2008年3月31日共161周的数据,依照非回置等权抽样方法构建基金组合。在研究了基金组合规模与组合风险和绩效关系的基础上,着重探讨了基金组合所含风格类型以及基金组合风格丰富化指标与组合风险和绩效的关系。在上述研究的基础上,论文提出了综合规模和风格双因素的基金最优组合构建原则,并得出了最适度风格类型模型和最适度风格丰富化指标模型。     

地方财政农业投入的最优规模分析

根据1994-2006年的省级面板数据,借鉴＂Armey曲线＂二次方程模型,对我国地方财政农业投入的最优规模进行估算。结果发现,如果以农业GDP作为农业经济的代理变量,则当地方财政农业投入占农业GDP的比例为39.8%时,农业经济增长速度达到峰值,而地方财政农业投入的现实规模远远小于估算的最优规模。为此,必须通过制度创新进一步强化地方财政对农业的投入。     

Contrarian Investing in a Small Capitalization Market: Evidence from New Zealand

This paper investigates the performance of accounting–based contrarian investment strategies in the New Zealand market. The return patterns of these strategies are then related to risk–based and behavioral–based explanations of the contrarian anomaly. Based on our analysis of the risk–return characteristics of the various strategies, we attribute the first year underperformance and second year outperformance of the value portfolios to expectational errors caused by noise trading in the relatively illiquid New Zealand market. The longer two–year correction process is in contrast to the much larger and more developed U.S. and Japanese markets, where value stock price corrections have been found to occur more rapidly. This provides support for the conjecture that longer horizons are required for value strategies to pay off in imperfectly competitive markets than in competitive markets.     

相依风险下保险公司投资信息安全软件的最优决策分析

网络信息安全保险已经成为企业转移安全风险的最主要工具之一,为了探索保险公司主动参与风险防范对网络安全水平的影响,本文设计了网络信息安全保险公司对被保险企业安全软件投资的均等、最重要和按比例三种策略机制,研究在强相依和弱相依的信息安全风险下保险公司在简单情形和复杂情形中的不同投资决策机制,及其对系统效用和风险的影响。研究结果表明,在保险公司投资被保险企业安全软件的三种投资策略下,相比被保险企业不购买保险,被保险企业购买保险可以显著地提高期望效用,并且整个系统的网络安全水平逐渐提高,但是整个系统的期望收益随着保险公司投资额的增加而降低。此外,在简单情形中,保险公司在不同的投资策略下存在不同的最优投资决策,且在均等投资策略和弱相依风险下系统各主体效用和风险水平均最高;在复杂情形中,在弱相依风险和最重要投资策略下整个系统具有较高的期望和较低的风险水平,说明复杂情形的网络信息安全保险系统存在涓滴效应。     

Time Diversification: Empirical Tests

This paper investigates the relationship between the performance of equity and the length of the investment horizon used by investors. We examine optimal portfolio time diversification and two definitions of ex ante time diversification. Using almost two centuries of US and UK data we find some support for the hypothesis that equity represents a significantly better investment over long investment horizons than over short investment horizons. Where this result holds, the likely explanation is mean-aversion in fixed-income asset returns. However, these results are sensitive to changes in investor risk preference, changes in utility function specification, changes in the sample period used, changes in investor constraints, and the definition of time diversification adopted. They also differ between the US and UK markets.     

Government Intervention and Investment Comovement: Chinese Evidence

This study examines whether government intervention affects corporate investment comovement, and whether this impact varies across firms with different types of ownership. We use a large Chinese sample to investigate these questions, and perform a regional as well as firm‐level analysis. We show that government intervention is positively and significantly associated with investment comovement. We also find that the impact of government intervention on investment comovement is higher and more significant for state‐owned firms than for domestic private and foreign firms. Finally, we show that investment comovement hinders corporate performance for state‐owned and domestic private firms but not for foreign firms.     

The Value of Adjusting the Bias in Recommendations: International Evidence

The financial literature has shown that both earnings forecasts and investment recommendations are optimistically biased. However, while the bias in earnings forecasts has decreased over time and even some recent studies show that they are no longer optimistic, in the case of investment recommendations this bias still remains relatively constant over time. Therefore, it seems that recommendations are less credible to investors than earnings forecasts. The vast majority of recommendation studies have been carried out at the country level. In this paper, we use an international context to study whether profitable investment strategies exist when adjusting the recommendation bias of each analysed country. The adjustment we propose to correct this bias takes into account the differences across countries, and also varies in time to correct for the changes in bias over time within countries. Our empirical results show that there are in fact significant differences in the level of bias among countries, with the US and the UK being the countries with the highest bias. Second, the adjusted consensus portfolios are more orthogonal to typical investment styles (size, book‐to‐market and attention) and we find that investors could implement a higher number of profitable investment strategies using this adjusted measure. In this line, the results show that the countries with the lowest bias obtain the highest risk adjusted abnormal returns. Third, our work entails a practical implication, as it shows the value embedded in a simple necessary adjustment in the global asset management context. This is an important result showing that profitable investment strategies exist when considering a global portfolio based on adjusted recommendations.     

我国投资消费结构失衡下国际收支失衡的实证检验

1994年＂双重汇率制＂并轨以来,我国国际收支＂双顺差＂失衡状况显著。理论分析和实证检验的结果显示,我国投资消费结构失衡对国际收支失衡有着深刻影响。因此,通过投资消费结构优化来矫正国际收支失衡是一条有效路径。     

证券投资基金的投资风格分析与比较

本文采用基于组合的风格分析方法,对6家中国基金管理公司所管理的30只股票型基金的投资风格进行了实证检验,发现这些股票型证券投资基金的投资风格特征都集中于大盘规模型和风格不一的价值、成长及平衡型,且同一基金管理公司所管理的基金在同一时点的投资风格有趋同现象;此外,还发现有些基金在契约合同中所公布的投资风格与实际检验出的投资风格不尽一致.     

Institutional investor horizon and stock price synchronicity: Do product market competition and analyst coverage matter?

This paper provides new insights into the relation between institutional investment horizon and stock price synchronicity and investigates whether this relationship depends on the intensity of product market competition and analyst coverage. Based on a sample of French listed companies, we find that long-term (short-term) institutional investors are associated with lower (higher) stock price synchronicity. The results also show that the negative effect of long-term institutional investors is more accentuated for firms in less competitive markets and with high analyst coverage. An additional analysis shows that the synchronicity reduction effect does not vary during the financial crisis. Overall, these findings suggest that unlike their short-term counterparts, long term investors reduce asymmetric information and help disseminate firm-specific information into stock prices.     

Sufficiency Conditions For Inclusion of One Asset Over Another in Investment Portfolios

By extending Tsiang's (1972) analysis to encompass two risky assets, sufficiency conditions for including one asset over another in any investor's investment portfolio are derived. This derivation stems from the fact that any realistic utility function must have indifference curves with slopes less than one. Using this model's framework, it is found that short-term Treasury bills in addition to cash balances cannot be a component of investor's investment portfolios. The results have implications for both the risk-free rate used in portfolio analysis and provide a partial solution to Mehra and Prescott's (1985) equity premium puzzle.     

基于Copula的投资组合选择模型研究

基于概率收益率与概率风险的定义,建立基于风险与收益率的投资组合模型,为了更好拟合联合分布,在具体解法中采用Copula函数来构造多个资产收益率的联合分布。由于不要求收益率服从维纳过程,因此基于Copula的Markowitz投资组合选择模型具有更广的适用性。通过对上证领先指数与深证领先指数收盘数据实证分析发现,在收益率(基于概率ρ0的收益率)一定的情况下,通过投资组合可以降低风险。     

Optimal derivatives: portfolios,payoffs and preferences

This article presents an extension to the growth optimal derivative that can accommodate risk preferences differing from those of logarithmic utility. Analysis of the optimal derivative provides interesting insights into the behaviour of power investors. We show that power investors under the real-world probability can be viewed as logarithmic investors under the myopic probability of Guasoni and Robertson [(2012). “Portfolios and Risk Premia for the Long Run.” Annals of Applied Probability, 22 (1), 239–284]. Furthermore, this intuition provides criteria for establishing whether fractional Kelly betting is optimal for power investors. Finally, the Black–Scholes model is used to demonstrate how the optimal derivative can be implemented and we show that our approach is consistent with classical techniques.