An Empirical Examination of U.K. International Unit Trust Performance

We examine the performance of U.K. unit trusts with international equity objectives between January 1985 and December 2000 using four international factor models. The international version of the Carhart (1997) model performs the best in explaining the cross-section of international stock returns. There is little evidence of superior performance by international trusts relative to the global models. We also find that the choice between a local and global version of the Carhart model has a significant impact on the relation between the investment sector of the trust and performance.JEL classification: G10, G12     

业绩排名、投资者选择和投资基金行为

本文利用中国开放式基金数据，对基金业绩与未来资金流入的关系及投资基金之间的“竞赛假说”进行了检验。结果发现，基金业绩与未来资金流入存在显著的正相关关系。整体而言，中国投资基金行业不存在“竞赛假说”，但投资基金在年末业绩排名竞争中存在显著的竞赛特征，投资基金在年中排名竞争方面则未表现出明显的竞赛特征。     

投资者保护和基金投资业绩

本文从基金持仓股特征出发,研究了上市公司投资者保护与基金投资业绩的关系。由于投资者保护影响公司的盈利能力以及投资者获取信息的难易程度,基金在投资时更加偏好于投资者保护好的上市公司的股票。使用我国上市公司基金持股比例的数据,本文证实了这一结论。更为重要的是,本文发现对于有能力的基金,他们会投资于投资者保护比较差的上市公司的股票,从而获得更高的投资业绩。     

英国经济贸易风险分析报告

英国经济正在转向复苏,但复苏步伐缓慢且脆弱。英国经济面临的风险主要在于：欧债危机恶化带来的外部威胁、金融行业出现动荡、紧缩性财政政策对经济的影响及执行力度,公共债务高企危及财政稳定性     

Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity

The literature has not established that a positive alpha, as traditionally measured, means that an investor would want to buy a fund. When alpha is defined using the client's utility function, a positive alpha generally means the client would want to buy. When markets are incomplete, investors will disagree about the attractiveness of a fund. We provide bounds on the expected disagreement with a traditional alpha and study the cross‐sectional relation of disagreement and investor heterogeneity with the flow response to past fund alphas. The effects are both economically and statistically significant.     

U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used?

We explore the validity of different benchmark specifications used to evaluate U.K. fund performance, and we examine the sensitivity of U.K. unit trust performance to the factor benchmark specification and two performance measures. Our findings suggest that the different benchmark specifications create some bias when we evaluate U.K. fund performance with either performance measure. We find that the performance of the trusts is sensitive to the factor benchmark specification used, but not to the performance measure. We also find significant time-series variations in the abnormal performance of the trusts.     

Exploring the Conditional Performance of U.K. Unit Trusts

We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter (2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities that the trusts hold.

Property Investment and Property Development Firm Performance Around Initial Public Offerings and Rights Offerings: U.K. Evidence

In contrast to the well-documented underperformance of equity issuers, property investment firms undertaking initial public offerings and rights issues have performed indistinguishably from similar nonissuing firms. Property development companies that issued equity over the same period performed significantly worse than nonissuing firms. The major difference between property development and property investment firms is that property investment firms hold portfolios of real estate assets and thus have more certain prices. The lower pricing uncertainty of property investment firms results in normal long-run performance. Tests of the cognitive bias hypothesis provide only weak support of this explanation, while size and book-market effects are unable to account for the performance of property investment and development companies. The findings of underperformance for rights issues suggest that timing equity issues to take advantage of new shareholders may not be linked to the existence of cognitive bias. An important finding for the international growth in securitized real estate markets is that no evidence is found suggesting equity issues of securitized real estate firms should be avoided.     

美英两国的政府绩效考评

绩效考评实践美国法律依据。美国政府绩效考评的法律依据是1993年美国第103届国会颁布的《政府绩效与结果法案》,该法案要求每个联邦机构必须报告为期5年的战略规划和每年的绩效情况。自20世纪90年代,美国国会相继通过一揽子设计联邦政府绩效管理的法案,主要涉及联邦政府三个关键领域:财务管理、信息技术与财政控制。在财务管理方面的立法,主要有《首席财务官法案》、《政府管理改革法案》     

Investor Tax Heterogeneity and Ex-Dividend Day Trading Volume

We propose that ex‐dividend day excess volume is motivated by tax heterogeneity among investors, and thus is increasing in investor tax heterogeneity. Institutional ownership is our measure of heterogeneity. Since investor heterogeneity is a concave function of institutional ownership, we hypothesize that ex‐day volume is a concave function of institutional ownership. Cross‐sectional tests support the tax‐motivated trading hypothesis. Additional tests, using trade size and pension ownership as proxies for institutional trades, yield similar results. We contribute to the literature by considering the interaction between payout policy and ownership structure in explaining the cross‐sectional variation in ex‐day volume.     

Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence

We investigate whether Real Estate Investment Trust (REIT) managers actively manipulate performance measures in spite of the strict regulation under the REIT regime. We provide empirical evidence that is consistent with this hypothesis. Specifically, manipulation strategies may rely on the opportunistic use of leverage. However, manipulation does not appear to be uniform across REIT sectors and seems to become more common as the level of competition in the underlying property sector increases. We employ a set of commonly used traditional performance measures and a recently developed manipulation-proof measure (MPPM, Goetzmann et al., Rev Finan Stud 20(5):1503–1546, 2007) to evaluate the performance of 147 REITs from seven different property sectors over the period 1991–2009. Our findings suggest that the existing REIT regulation may fail to mitigate a substantial agency conflict and that investors can benefit from evaluating return information carefully in order to avoid potentially manipulative funds.     

信用债券市场流动性与投资者异质性研究

流动性是信用债券市场投资者和监管者高度关注的问题。从债权终止风险的视角出发,本文分析了投资者在投资期限习惯和信用品质偏好上的差异而产生的债券估值差异。可以发现,在配置型和交易型投资者并存的信用债券市场上,流动性水平与投资者异质性有关。提高配置型投资者比例、提高两类投资者间的异质性、降低同类投资者间的异质性能改善市场流动性。因此,培育合理的投资者结构对促进信用债券市场流动性建设具有重要意义。     

一个VC的投资理财观

不管怎样,奥运在给北京的旅游经济带来机遇的同时,将使银行卡业的发展更好更快。2008年奥运会日益临近,对北京经济社会的影响也逐渐体现出来。中国社科院金融研究所货币理论与政策研究室副主任杨涛指出,历史经验表明,如果利用好奥运契机,将会给举办城市经济增长带来重要的促进作用。1984年洛杉矶奥运会首次改变奥运会长期亏损的历史,最终盈利2.5亿美元,此后,几届奥运会的主办城市及其所在国家,既通过奥运赢得了声誉,又在经济发展方面得到好处,奥运商机变成了令人垂涎的大蛋糕。中央财经大学中国银行业研究中     

投资者异质、信息搜索与中国基金赎回之谜

基金赎回之谜是中国基金业的特有现象。本文通过构建包含投资者异质性、投资者信息搜索行为两种因素的投资者选择模型,证明了基金赎回之谜的存在,并进一步发现了另一种形式的基金赎回之谜:基金资金净流入与基金收益波动性呈反向关系。在此基础上,本文利用面板数据模型证实了这种赎回异象的存在。     

美国日本房地产投资信托发展对中国的启示

房地产投资信托作为资产证券化的先头金融商品，对资产证券化和房地产市场的发展起到积极的推动作用。美国建立了世界最为发达和健全的房地产投资信托业，而日本在发展房地产投资信托业时却没有达到预期的效果。对美国和日本房地产投资信托的研究，对我国开展房地产投资信托业务有着重要的借鉴。     

投资者情绪、经理激励契约与企业投资

本文基于中国上市公司经理激励契约安排的制度背景,把经理激励契约纳入投资者非理性分析框架,就投资者情绪与经理激励契约如何相互作用影响企业投资进行了理论分析,并进行了实证检验。结果发现,高管持股会诱发高管利用投机的股市进行过度投资,而与股价弱相关的货币薪酬没有这种作用,而且经理薪酬的这种作用因企业实际控制人性质不同而有所差异。本研究表明高管持股在企业投资决策中具有负面的公司治理效应。     

Investor Tax Credits and Entrepreneurship: Evidence from U.S. States

Angel investor tax credits are used globally to spur high-growth entrepreneurship. Exploiting their staggered implementation in 31 U.S. states, we find that they increase angel investment yet have no significant impact on entrepreneurial activity. Two mechanisms explain these results: crowding out of alternative financing and low sensitivity of professional investors to tax credits. With a large-scale survey and a stylized model, we show that low responsiveness among professional angels may reflect the fat-tailed return distributions that characterize high-growth startups. The results contrast with evidence that direct subsidies to firms have positive effects, raising concerns about promoting entrepreneurship with investor subsidies.     

基金业绩归因与投资者行为

本文以2006年1月至2016年12月中国64家股票型主动管理基金为样本,从基金净资金流变化的角度,检验了投资者决策与基金业绩结构的关系,以期更好地理解投资者行为。本文结论有:(1)整体上,投资者在衡量基金经理能力时,更关注原始超额收益率或只基于市场风险调整风险敞口,这可能与中国市场投资工具仍然不够充分、风险难以有效对冲有关;(2)机构投资者相比个人投资者对风险敞口的识别更严格;(3)简单模型的优势集中在市场波动低、投资者情绪高的时期;(4)除基金经理能力外,净资金流变化对市场风险报酬也很敏感;(5)从alpha的角度,我国基金市场仍存在“赎回异象”,可能与“处置效应”有关,仍需提升投资者对风险的认知,引导市场形成更加科学的投资观念。     

Pension Funds and the U.K. Economy

Abstract

The paper considers the impact of U.K. defined benefit (DB) pension plan unding and investment on the U.K. economy. It suggests that many conventional theories are based on incomplete or inconsistent economics. In particular, the author suggests that:

? An economy cannot really gain competitive advantage from high returns on the domestic assets in which pension funds invest.

? DB liabilities are essentially similar for most schemes and can be closely matched with bonds.

? Funding pension liabilities has no primary impact on individuals’ consumption and saving or on firms’ capital investment.

? Pension funds are not natural investors in the equity of new ventures.

The conclusion of the paper is that the most significant impact of pension funds on the U.K. economy relates to the costs imposed by extreme mismatching between their financial assets and liabilities. The author argues that such risks can, in essence, “crowd out” entrepreneurial risk. He asserts that the U.K. economy would gain from greater focus on the matching of these assets and liabilities, and that the best way to stimulate enterprise is by eliminating the frictional costs in the economy arising from current practices.     

U.S. International Equity Investment

Using a comprehensive data set of all U.S. investment in foreign equities, we find that the single most important determinant of the amount of U.S. investment a foreign firm receives is whether the firm cross‐lists on a U.S. exchange. Correcting for selection biases, cross‐listing leads to a doubling (or more) in U.S. investment, an impact greater than all other factors combined. Much of this increased U.S. investment is purchased in the foreign market, implying that the cross‐listing effect reflects something more fundamental about a firm than easier acquisition of its securities. We also demonstrate that cross‐listing is an important determinant of U.S. international investment at the country level and describe easy‐to‐implement methods for including a cross‐listing variable as an endogenous control.