Timing and selectivity in Portuguese mutual fund performance

We extend the international evidence on timing and selectivity skills of fund managers by applying the Henriksson and Merton [Henriksson, R., Merton, R., 1981. On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. J. Bus. 54, 513–533] model to Portuguese based mutual funds investing in local, European and International equity.

The results show that managers do not exhibit selectivity and timing abilities, and there is even some evidence of negative timing. Furthermore, we observe a distance effect on stock selection performance, since fund managers that invest locally seem to perform better that those who invest in foreign markets. However, this effect is reverted with respect to market timing skills of fund managers, suggesting that International fund managers are more focused in market timing strategies.     

A hedonic price model for private properties in Hong Kong

A hedonic model is used to explore the effects of locational, structural, and neighborhood attributes on the price structure of private condominiums in Hong Kong. The regression results and the elasticities of housing attributes obtained from the Box-Cox analysis indicate that the valuation of a property is sensitive to changes in housing traits. Home buyers are rational and are willing (unwilling) to pay for desirable (undesirable) housing attributes and that the valuation of a property is market-driven in Hong Kong.     

Management disclosure bias and audit services

This paper considers the level of bias observed in management disclosures of earnings forecasts and historic earnings data in Australian prospectuses. Management forecasts and naïve forecasts derived from managements’ normalised historic data are analysed. A key focus is upon the possible association between such forecast bias and differential audit services performed upon the data. Audit firm size and level of engagement are modelled against bias. The full sample revealed no overestimation bias for any of the forecast models, but underestimation was observed for elements of the management and random walk naïve forecasts. Cross-sectionally, a significant association was observed between forecast bias and audit firm size across all three forecast models. Specifically, the audit firm size variable (Non Big-5/Big-5) was inversely associated with the extent to which forecasted and normalised historic earnings data were upwardly biased. On the other hand, the level of engagement was not a significant discriminator for forecast bias. These outcomes are contrasted against others reported elsewhere in the literature and suggest a risk in generalising across contexts. The findings imply a level of ‘disclosure management’ regarding company IPO forecasts and normalised historic accounting data, with forecast overestimation and error size more extreme when the monitoring expertise and/or reputation of auditors is lower (JEL D80, G14, M41, N27).     

The price,quality and distribution of mortgage payment protection insurance: A hedonic pricing approach

Mortgage payment protection insurance (hereafter MPPI) provides varying combinations of accident, sickness and unemployment insurance and is used to protect the mortgage payments of policyholders in the event of a fall in income. Despite alleviating housing market failures, this service has been heavily criticised for providing poor value for money and being associated with unhelpful sales techniques especially when sold jointly with a mortgage in the UK. Consequently, the Competition Commission (2009) ruled that after February 2011 MPPI should not be sold jointly with mortgage lending within seven days of the credit transaction. We examine whether this prohibition was justified and if the form of distribution, either jointly with the mortgage or independently influences the premium levels. This assessment uses a hedonic pricing approach with details and premiums of MPPI policies in 2010 and 2012. Despite the success in reducing MPPI premium levels, we conclude that the Competition Commission judgement has raised concerns as to mortgagee protection.     

适应外汇管理理念与方式变革的举措探析

党的十八大以来,外汇管理的理念和方式发生了革命性变革,有效促进了贸易和投资便利化。但是在变革中,外汇指定银行的一些行为不利于外汇管理的开展,需要地方外汇管理部门和外汇指定银行共同应对予以解决。     

Performance evaluation bias: A comparative study on the role of financial fixation,similarity-to-self and likeability

Performance evaluations are critical to organizational control. Dissatisfaction with systems emphasizing financial targets only has driven many companies to adopt systems using multiple performance measures. These multiple measurement systems (MMS) however may exacerbate certain cognitive biases. Using multiple performance measures can be a cognitively complex task that invites coping reactions anchored in simplifying heuristic biases, such as the likability of the target evaluatee and similarity-to-self. There are reasons to believe that these biases may manifest differently across “individualistic” or “collectivist” cultures. Our study examines three biases (financial fixation, similarity-to-self and likeability) across two distant cultures (United States and Spain) along the individualistic–collectivist dimensions. Participants are MBA students from Spain and the US. Consistent with theory-based predictions, we find that likability and similarity-to-self impact Spanish participants while financial fixation presents greater influence among US participants. These findings underscore the importance of considering national culture in designing performance measurement systems and advise about the role of specific biases, which are not culturally neutral.     

中国股市反应偏差的投资者心态模型

在行为金融学理论中,投资者心态模型将投资者的心理偏差当作反应偏差的源泉,但这些投资者心态模型对于发展时间较短、具有区别于成熟市场的独特市场制度和社会环境的中国股票市场而言,存在适用度问题。分析中国股票市场投资者普遍的投机心理等要素,运用改进了的HS模型,根据股票市场的习惯,分别对一个牛市周期和熊市周期进行验证得出,投机心理支配下的机构投资者和个人投资者的相互作用是导致反应偏差的主要原因。     

The effect of self-selection bias on the testing of a stock price reaction to management's earnings forecasts

This study examines the inferential bias due to the failure to control for self-selection when studying the market's reaction to management earnings forecasts. The analysis is conducted by controlling for self-selection and comparing the results to those obtained when self-selection is not controlled. This comparison suggests that the overall inference of a market reaction to the management forecast issuance does not change. However, the statistical significance declines when self-selection is considered. Since the issuance of a management forecast is an obvious self-selection, the results of this study suggest that self-selection should be considered and evaluated in quasi-experimental studies in accounting and finance.     

Investor and price response to patterns in earnings surprises

As part of their model to explain short-term positive and long-term negative auto-correlation in stock returns, Barberis, Shleifer, and Vishny [1998. A model of investor sentiment. Journal of Finance 49, 307–345] suggest that investors may extrapolate trends in earnings performance. I test this portion of their model by examining investor trading patterns in firms that experience consecutive same-sign earnings surprises. Consistent with their model, after controlling for regularities in trading activity, I find that the net buying of small investors increases with the number of consecutive positive earnings surprises. I further find that purchasing activity of small investors subsequent to consecutive positive surprises is significantly negatively correlated with returns throughout the remainder of the year. These results suggest that such investors are not simply rationally updating after public news announcements. My results are robust to controlling for auto-correlation in earnings surprises.     

Short sales, price pressure, and the stock price response to convertible bond calls

The announcement of a convertible bond call is associated with an average contemporaneous abnormal stock price decline of 1.75% and an ensuing price recovery in the conversion period. A price fall and the subsequent recovery suggest price pressure as the explanation for the announcement effect. However, in general the option to convert is not exercised early and hence, the increase in the number of shares outstanding does not occur at the announcement date. Instead, this paper argues and provides evidence that hedging-induced short selling causes at least part of the short-run price pressure.     

Stock price reaction to public and private information

I use Easley and O’Hara's [1992, Journal of Finance 47, 577–604] private information-based trading variable, PIN, together with a comprehensive public news database to empirically measure the effect of private and public information on the post-announcement drift. I show that stocks associated with high PIN, consensus public news surprises, and low media coverage experience low or insignificant drift. Thus not all information acquisition variables have the same effect on the market's efficiency. Whether information is public or private is irrelevant; what matters is whether information is associated with the arrival rate of informed or uninformed traders.     

Control-ownership wedge and investment sensitivity to stock price

This study examines whether insiders’ incentives for private control benefits affect investment sensitivity to stock price. While Chen et al. (2007) link stock price informativeness to firms’ learning from the stock market, we offer an alternative agency-cost based explanation. Using a total of 2822 firms from 22 countries in East Asia and Western Europe, we document a strong negative association between control-ownership wedge and investment-q sensitivity, suggesting that insiders’ incentives for private control benefit reduce their propensity to listen to the market. Furthermore, the negative impact of wedge on investment-q sensitivity is primarily driven by sub-optimal investments. Overall, we provide evidence that agency problem is an important factor that determines the learning from the stock market in capital allocation.     

加快改革创新步伐 促进农村信用社转型发展

随着吉林省城镇化和农业现代化的发展,作为支持三农发展的金融机构,吉林省农村信用社面临机遇和挑战,本文从深化改革、努力转型、管理升级和提质增效四个方面论述了推动农村信用社转型发展的必要性和方式途径。     

Systematic liquidity risk and stock price reaction to shocks

This study examines the relationship between systematic liquidity risk and stock price reaction to large 1‐day price changes (or shocks). We base our analysis on a yearly updated constituents list of the FTSE All share index. Our overall results are consistent with the price continuation hypothesis, which suggests that positive (negative) shocks will be followed by positive (negative) abnormal returns. However, further analysis indicates that stocks with low systematic liquidity risk react efficiently to both positive and negative shocks, whereas stocks with high systematic liquidity risk underreact to both positive and negative shocks. Our results are valid irrespective of various robustness tests such as size of the shock, size of the firm, month‐of‐the‐year and day‐of‐the‐week effects. We conclude that trading on price patterns following shocks may not be profitable, as it involves taking substantial liquidity exposure.     

广西县域农村信用社改制组建农村合作银行探讨

农村信用社是农村金融的主力军,其改革与发展事关改善农村金融服务、推动社会主义新农村建设的大局。农村金融体系的不完善、被动改革和地方政府的干预使得广西农村信用社在改革目标、经营管理等方面还存在不少问题。因此,应在明确改组农村合作银行的前提下充分发挥县域农村信用社的积极性,进而不断地发展和完善农村合作银行。     

Influence of cultural factors on price clustering and price resistance in China's stock markets

This paper builds on prior research by analysing the impact of cultural factors on both price clustering and price resistance in China's stock markets. The results support the presence of cultural factors impacting on price clustering with the digit 8 showing a higher propensity for clustering and the digits 4 and 7 showing a lower propensity in the A‐share market, where stock is denominated in renminbi and traded by mainland Chinese. These results are further supported by an analysis of the B‐share market, where cultural factors have no (or less) impact on the price of Chinese stocks traded by foreign investors in US dollars (or in Hong Kong dollars). A range of measures for price resistance show the digits 0 and 5 to be significant resistance points in the A‐share market. Although digit 8 cannot be considered as a resistance point, its resistance level is highest among the remaining numbers. In conclusion, cultural factors help to explain not only price clustering in the Chinese stock markets but price resistance levels as well, albeit at a weak level.     

Market reaction to optimistic bias in the recommendations of chaebol-affiliated analysts

Using the setting of chaebol industrial organizations in Korea, which allows for the study of a unique affiliation between a chaebol group and financial analysts, we examine whether investors react to an optimistic bias in affiliated analysts’ recommendations. Our initial market return tests, abnormal trading volume tests and independent analysts’ reaction tests suggest that investors and independent analysts recognize and discount an optimistic bias in chaebol-affiliated ‘buy’ recommendations. However, long-term market returns are more profitable in terms of affiliated analysts’ ‘buy’ recommendations than independent analysts’ recommendations, which suggests that investors excessively discount chaebol-affiliated ‘buy’ recommendations in the short-term.     

Order and price in a sequential auction

A sequential auction of commercial properties produced evidence that bid timing matters. Prices declined as the auction proceeded, an outcome consistent with expectations when bidders are either risk averse or quantity constrained.     

International diversification gains and home bias in banking

This paper studies international diversification in banking, exploiting a bank-level dataset that covers the operations of 38 global banks and their subsidiaries overseas during 1995–2004. The paper finds that banks with a larger share of assets allocated to subsidiaries in emerging market countries were able to attain higher risk-adjusted returns. These gains were somewhat reduced by the concentration of bank subsidiaries in specific geographical regions, which is typical of the observed international expansion strategies. The paper also finds a substantial home bias in the international allocation of bank assets relative to the results of a mean–variance portfolio optimization model.     

Optimistic bias in management forecasts by Japanese firms to avoid forecasting losses

Listed firms in Japan are effectively compelled to report management forecasts of sales, ordinary income, and net income along with actual earnings and sales each year. Prior studies report that Japanese managers tend to announce optimistic forecasts of earnings. We show that a large part (61.6%) of the overall optimistic bias in management earnings forecasts in Japan can be explained by loss forecast avoiding behavior of a small fraction (5.25%) of firms. Such behavior is caused in part by the view of the main bank and power group that the management forecast of earnings is the manager's earnings target. Our findings suggest that the Japanese stock market recognizes such loss forecast avoidance and accordingly discounts new information in management forecasts.