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.     

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.     

我国开放式基金选股能力和择时能力的实证研究

本文运用T-M 模型和H-M 模型对我国开放式基金经理的选股能力和择时能力进行实证研究,结果表明,我国开放式基金经理不具备选股能力,但具备一定的择时能力。此外,选股能力和择时能力之间存在强烈的负相关性。     

中国开放式基金表现的动态能力研究

本文以中信指数与中信债券指数的加权超额收益率为市场基准 ,以GDP增长率和消费物价指数的增长率以及广义货币供给增长率为条件变量 ,构建了证券投资基金表现的条件评价模型 ,对中国开放式证券投资基金的选股能力和市场时机把握能力进行了测度。计量方法上采用混合数据模型的回归方法以提高回归结果的有效性。研究结论为 :中国开放式基金不但具有一定的选股能力 ,而且具有良好的市场时机把握能力 ;条件模型的解释能力高于无条件模型。     

Does socially responsible mutual fund performance vary over the business cycle? New insights on the effect of idiosyncratic SR features

This study analyses the performance and market timing of US socially responsible (SR) mutual funds in relation to business cycle regime shifts and different grouping criteria: Ethical strategy focus, SR attributes scores and Morningstar category. Different methodologies are applied and results highlight the importance of considering specific benchmarks related to the investment style in evaluating the SR fund performance. Our results show that, in aggregate, the abnormal performance of SR funds is negative and significant in expansion periods, but no significant differences are found in recession periods. When specific benchmarks are considered, performance improves in recession periods, particularly for environmental funds, those with high SR attributes scores, and funds from the nine Morningstar style box categories. Market timing of SR funds takes positive values and is partially significant. Previous evidence of negative timing after a recent financial crisis vanishes when specific benchmarks are considered. For comparative purposes the performance of conventional US mutual funds is also analysed. There are no significant differences between the performance of SR and conventional mutual funds when a fair comparison is made within the same style categories. When all the SR funds are considered, they underperform conventional funds in expansion sub‐periods, but in recession sub‐periods they perform better, although the differences observed are not significant.     

Do hedge funds time market tail risk? Evidence from option-implied tail risk

This paper focuses on an unexplored dimension of fund managers’ timing ability: Market-wide tail risk implied by information in options markets. Constructing the option-implied tail risk, we investigate whether hedge fund managers can strategically time the tail risk through adjusting their exposure to changes of it. Using an extensive sample of equity-oriented hedge funds, we find strong evidence of tail risk timing ability of hedge fund managers. Furthermore, tail risk timing ability brings significant economic value to investors. Top-ranked funds outperform bottom-ranked funds by 5–7% annually after adjusting for risk factors. Our results are robust to various robustness checks.     

中国养老保险制度的困境与发展对策

中国养老保险制度的改革滞后于经济与政治体制改革。主要体现在保险的覆盖面 ,基金的征集、管理、运营等方面 ,对养老保险的可持续发展构成了严重的障碍。根据我国的国情及经济发展状况 ,在廓清理论框架的前提下 ,加大个人帐户的比重 ,提高养老基金的运作效率 ,在此基础上扩大养老保险的覆盖范围 ,使养老保险系统在我国经济与政治生活中发挥其应有作用     

Ability parity model for optimal fund allocation: Evidence from China's mutual fund markets

We propose in this article a novel ability parity model for optimal fund allocation. Compared with the traditional portfolio selection methods which directly work on asset returns and/or risk (volatility), the proposed ability parity method focuses mainly on the allocation between the stock selection ability and market timing ability of fund managers, which essentially determines fund performance (Fama, 1972). Using the data of China's mutual fund markets, we find strong and robust evidence that the proposed ability parity model delivers significantly higher return, skewness, and Sharpe ratio than traditional models and the benchmark index, while having volatilities comparable with traditional models.     

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.     

Duration Dependence,Behavioral Restrictions,and the Market Timing Ability of Commodity Trading Advisors

This paper addresses a potential shortcoming in the work on the market timing ability of fund managers. We adapt the Henriksson‐Merton (1981) test for market timing by relaxing a behavioral assumption that is implicit in the use of daily data. To this end, we relax the assumption that managers base their market timing decisions on daily excess returns. Instead, we use results from the literature on bull and bear markets and test whether fund managers can successfully time such trends in financial markets. We make use of a proprietary dataset of daily Commodity Trading Advisors (CTAs) returns to show that CTAs, on average, are able to time the bull and bear markets we identify.     

The case against active pension funds: Evidence from the Turkish Private Pension System

Using data on private Turkish pension funds we show that most active managers are not able to provide performance beyond what could be achieved by passive indexing. The average fund beats its benchmark by only 26 basis points, before fees. We also observe herding behavior among managers' asset allocation decisions which can potentially explain their lack of overperformance. Our results strongly support the need for low-cost index funds in emerging market countries that are reforming their pension schemes. We further recommend regulatory oversight on the “activeness” of funds and introduction of default plans with more balanced asset allocations.     

Psychological Capital: Impacts on Asset Management

Drawing together the areas of behavioral finance and positive psychology, the present research sought to investigate whether the psychological capital of investment fund managers is associated with fund performance in a context of financial instability. The theoretical propositions were presented and evaluated empirically through primary data on investment fund manager profiles and secondary data on the cumulative stock fund returns. The results indicate that funds managed by managers with greater resilience and optimism obtained a higher return than the mean profitability in a period of market instability.     

Do Socially Responsible Fund Managers Really Invest Differently?

To date, research into socially responsible investment (SRI), and in particular the socially responsible investment funds industry, has focused on whether investing in SRI assets has any differential impact on investor returns. Prior findings generally suggest that, on a risk-adjusted basis, there is no difference in performance between SRI and conventional funds. This result has led to questions about whether SRI funds are really any different from conventional funds. This paper examines whether the portfolio allocation across industry sectors and the stock-picking ability of SRI managers are different when compared to conventional fund managers. The study finds that SRI funds exhibit different industry betas consistent with different portfolio positions, but that these differences vary from year to year. It is also found that there is little difference in stock-picking ability between the two groups of fund managers.     

Firm boundaries,incentives, and fund performance: Evidence from a private pension fund system

The private pension fund system in Turkey presents a unique institutional structure where bank holding companies can own both private pension companies and asset management firms. More often than not, pension companies delegate their operational mandates to the asset management arm of the same bank. This practice exposes the retail investor to a double agency problem and raises questions about conflicts of interest and fiduciary duty. Our analysis reveals that the funds set up and managed under the same bank holding company perform worse on a risk-adjusted basis than the funds with an arm's length relationship between the pension company and the asset manager. We show that this relative underperformance is not simply a bank effect; bank-affiliated pension companies and asset managers do just as well, if not better than their peers, when they are not operating under the same roof. Unfortunately, this inefficient institutional structure is not eliminated by market discipline because these funds attract more flows from retail investors, and the underperformance is not discernible in raw returns.     

Fund Loyalty Among Socially Responsible Investors: The Importance of the Economic and Ethical Domains

The corporate social responsibility literature has emphasized the importance of both economic and ethical domains of corporate behavior. Analyzing unprecedented survey data from investors in a socially responsible (SR) mutual fund, this article considers how economic and ethical concerns shape shareholder investment behavior. In particular, this article analyzes levels of investor fund loyalty, defined as the continued investment in a mutual fund despite the belief that one is earning a lower return on investment. Building upon existing research that shows SR fund assets are more stable than conventional fund assets, this article leverages within respondent comparisons to clarify that dual investors (i.e., those who invest in both SR and conventional funds) are more loyal to their SR fund than to their conventional fund. This suggests that a corporation’s ethical behavior attracts more patient investment capital, an important consideration for any corporation that is deciding to what degree it should engage in corporate social responsibility. In addition, this article empirically demonstrates that economic motivations reduce SR fund loyalty and that ethical motivations induce SR fund loyalty. This evidence that ethical motivation is associated with fund loyalty advances research on morality in the market by yielding empirical evidence to a largely theoretical debate.     

The Economic Inefficiency of Secrecy: Pension Fund Investors’ Corporate Transparency Concerns

In the wake of recent corporate scandals, this paper traces the growing power of pension funds to provide managerial oversight of the firms they hold in their investment portfolios. Increasingly pension funds are exercising their legitimate rights as owners to raise the corporate governance standards of the firms they invest in. Within corporate governance generally, pension funds are shifting their attention away from managerial accountability and toward measures that increase transparency in firm-level decision-making. Pension funds use transparency to ensure that shareholders are the primary interest being served by the firm. Transparency not only aligns managers and owners, it also raises issues of firm behaviour that allow other stakeholders to engage the corporation more broadly. I contend that secrecy is economically inefficient. When organizations are opaque and interests are secret, decision-making can and does distort efficiency. I examine recent pension fund corporate governance campaigns with particular reference to the California Public Employees Retirement System. Dr. Hebb is a senior research associate at the Labor and Worklife Program, Harvard University and the Oxford University Centre for the Environment. She is researching the role of US public sector pension funds and urban revitalization as lead investigator on a two-year Rockefeller and Ford Foundation grant. Her doctoral work at Oxford University examined the impact of pension fund corporate engagement on the corporate governance, social and environmental standards of firm behaviour. She was a Clarendon Scholar at Oxford University and was awarded the prestigious William E. Taylor Fellowship (2003) from the Social Sciences and Humanities Research Council, Government of Canada. Dr. Hebb is also a recipient of the York University Schulich School of Business National Research in Financial Services and Public Policy Scholarship (Canada). Dr. Hebb is also the Director of the Capital Strategies Program at the Carleton Centre for Community Innovation (3ci), Carleton University, Canada. Here her work focuses on the financial and non-financial impact of pension fund economically targeted investment in Canada as part of a three-year SSHRC Initiatives in the New Economy grant.     

我国养老基金的投资模式

人口老龄化对养老保险制度提出了严峻的挑战 ,“统账结合”的基金缺口将通过国有股减持来弥补。而出于保值增值的需要 ,具有积累或部分积累性质的养老基金有必要进入资本市场 ,并具备了一定的进入条件。相应地 ,养老基金的投资模式也要进行多样化的投资选择 ,以达到保值增值的目的。     

建立合理有效的社会保障基金监管方法研究

论述中国社会保障基金监管的基本情况及存在的问题,分析我国社保基金监管存在法律和市场体系不完善、难以保障社保基金的保值增值、基金管理透明度低等方面的原因,结合国外社保基金监管方式的经验与教训,提出提高立法层次、强化监督力量、推进监管体系市场化以及建立完善的三方监管体系等切实可行建议,从而保障我国社保基金监管合理有序的发展。     

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.     

中国社会保险缴费率的降低空间与方案模拟——以城镇企业职工基本养老保险为例

以城镇企业职工基本养老保险为例,在确保基金2016～2090年正常运转的前提下,通过建立精算模型分析缴费率是否具备降低空间,研究发现:如果退休年龄自2022年每年延迟3个月直至65岁,且"全面二孩"生育意愿达到61%及以上,缴费率可从28%降至25.51%～27.94%;进一步,如果允许养老保险基金入市,且投资收益率达到全国社保基金理事会公布的8.82%,无论"全面二孩"生育意愿为多少,缴费率可降至24.43%～26.41%;再进一步,如果政府继续减持国有股充实全国社保基金,缴费率可降至23.63%～25.54%.综上所述,为减轻用人单位和职工的缴费负担,除采取延迟退休和鼓励生育等措施外,政府还可尽快完善养老金入市、减持国有股充实社保基金.