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).     

Learning, price formation and the early season bias in the NBA

We test the NBA betting market for efficiency and find that totals lines are significantly biased early each season, yet sides lines do not show a similar bias. While market participants generally force line movements in the correct direction from open to close, they do not fully remove the identified bias in totals lines. This inefficiency enables a profitable technical trading strategy, as the resulting win rate of our proposed simple betting strategy against the closing totals line is 56.72%.     

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.     

The survivorship bias, share price effect, and small firm effect in Canadian markets

After controlling for survivorship bias, we examine the relation between average returns, firm size, and price levels for Canadian stocks during the 1975-1994 period. Our findings indicate that there is a significant inverse share price level effect in Canadian markets. When we compare the results of the overall sample with the groups of surviving firms and delisted stocks, the latter group shows strong performance for large-size, high-priced stocks. Evidence that supports an independent size effect is less clear for Canadian stocks. A small size effect exists only among the higher share price denominations, which suggests a confounded size-price effect. Although the delisted group returns are statistically different from those of the survivor and the overall groups, which implies some evidence of survivorship bias, the difference between the survivor group and the overall group is weak at best.     

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.     

Universal price impact functions of individual trades in an order-driven market

The trade size ω has a direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific scaling laws, where a master curve of price impact can be obtained in each market when stock capitalization C is included as an argument in the scaling relation. However, the rationale of introducing stock capitalization in the scaling is unclear and the anomalous negative correlation between price change r and trade size ω for small trades is unexplained. Here we show that these issues can be addressed by taking into account the aggressiveness of orders that result in trades together with a proper normalization technique. Using order book data from the Chinese market, we show that trades from filled and partially filled limit orders have very different price impacts. The price impact of trades from partially filled orders is constant when the volume is not too large, while that of filled orders shows power-law behavior r?～?ω^α with α?≈?2/3. When returns and volumes are normalized by stock-dependent averages, capitalization-independent scaling laws emerge for both types of trades. However, no scaling relation in terms of stock capitalization can be constructed. In addition, the relation α?=?α_ω/α _r is verified for some individual stocks and for the whole data set containing all stocks using partially filled trades, where α_ω and α _r are the tail exponents of trade sizes and returns. These observations also enable us to explain the anomalous negative correlation between r and ω for small-size trades.     

On the Determinants of Optimism in Financial Analyst Earnings Forecasts: The Effect of the Market's Ability to Adjust for the Bias

This paper examines whether the documented bias in analyst earnings forecasts is intentional by examining whether it is related to the market's ability to adjust for this bias. For intentional bias to exist it is not enough for analysts to face incentives but rather, analysts should also be willing to respond to these incentives. As the market's ability to adjust for the bias increases, its market effects decrease while analyst reputation costs increase reducing analyst willingness to bias their forecasts. The paper utilizes a firm‐specific design that allows for both the bias component of the forecast error and the market's ability to adjust for the bias to be computed at the firm level. Results suggest that even though forecast error is positive in the latter part of the period under review reflecting overall analyst pessimism, the bias embedded in the forecasts is optimistic throughout the period. More importantly, I find that analyst forecast bias is decreasing in the market's ability to adjust for it. This result provides further evidence that analysts knowingly bias their forecasts and provides support for the existence of reporting bias, in particular. Thus, the evidence provides justification for recent regulatory efforts to increase the objectivity of analyst research reports.     

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.     

Investor propensity to speculate and price delay in emerging markets

Stocks with lottery-type payoffs exhibit more pronounced price delay. This finding holds for emerging market stocks even when jointly considering the impact of IVOL. In a cross-market analysis, a stronger market-level propensity to speculate, gauging the strength of investor preference for lottery-type payoffs, is found to delay the price reaction to information for stocks in the market in general. These conclusions remain robust when using a random sample that mitigates the bias from unevenly distributed sample observations across markets. Our findings add to the evidence that investors' asset choices that deviate from ideal portfolio diversification influence the process of stock pricing.     

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.     

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.     

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。