公司债券市场流动性有效衡量及实证检验

摘要：公司债券的流动性问题越来越受到研究者的关注,而且随着理论研究扩展和实践的加深,流动性出现了很多不同的度量指标。本文在对公司债券市场流动性测量方法进行总结的基础上,实证检验了我国公司债券的流动性状况,分析了当前公司债券市场流动性存在的问题,并提出改革公司债券流动性的相关建议。     

ETF上市对中小企业板市场质量影响的研究

本文探讨中小企业板交易型开放式指数基金（中小板ETF）上市交易对市场质量的影响。研究结果发现：中小板ETF上市交易后,以Amivest比率衡量的中小企业板价格指数（中小板P指数）的流动性是增加的;以GK波动值衡量的中小板P指数的波动性是减小的：市场效率系数法与暂时性价格变动效果分析结果均显示：中小板ETF上市交易后,中小板P指数定价的有效性得到提升。综合来看,引入ETF交易后,中小企业板市场的整体质量变好。     

Socially Responsible Fixed-Income Funds

Abstract:  The growing importance of SRI in the investment arena has resulted in considerable academic interest in the performance of socially responsible equity mutual funds. Remarkably, no attempts have been made to evaluate the performance of mutual funds that invest in socially responsible fixed-income securities. This study fills that gap by measuring the performance of socially responsible bond and balanced funds relative to matched samples of conventional funds, over the period 1987–2003. Using multi-index performance evaluation models, we show that the average SRI bond fund performed similar to conventional funds, while the average SRI balanced fund outperformed its conventional peers by more than 1.3% per year. The expenses charged by SRI funds, match those charged by conventional funds and, evidently, do not cause SRI funds to underperform.     

International Equity Asset Classes in the Turkish Fund Industry

We examine Turkish fund portfolios and identify the role of international investments in their formation. We find that (1) Turkish funds hold a very small fraction of international assets during 1987-2008, (2) the weight of international equity in the funds with an international mandate is smaller than the total weight of domestic asset classes as of 2009, and (3) international stock holdings of Turkish portfolio managers show significant similarity, which can be explained by the fact that the managers tend to hold stocks with which they are familiar. We compare the performance of funds that have the international investment objective with benchmark portfolios and provide suggestions for more diverse funds in the Turkish fund industry.     

My global fund portfolio is not yours: the effect of home bias on European- and US-managed convertible bond fund exposures

This paper shows that global convertible bond funds (CBFs) and their resulting equity-bond exposures are regionally biased. Global bond fund managers display home bias, resulting in CBFs that are not only tilted towards the home market but also reflect the different bond-equity exposures of European and US convertibles. More specifically we find that global funds managed by a European asset management firm are more bond-like than global funds managed by a US-based asset manager. Hence, investors have to account for the asset management company's origin to avoid that the performance of the fund and its correlation with other assets is not in line with investor's ex ante expectations about globally managed portfolios. Our results also indicate that for investors of European-based CBFs this home bias has resulted in an ex post opportunity cost up to 1.38% per year, depending on the sample period.     

What Style Liquidity Timing Skills Do Mutual Fund Managers Possess?

Recent studies claim that mutual fund managers demonstrate strong MARKET liquidity timing skills. We extend their liquidity timing tests to the four‐factor case and investigate liquidity timing skills with respect to the MARKET, SIZE, VALUE and MOMENTUM factors. Contrary to these claims, we find no evidence that fund managers adjust market exposure in anticipation of market liquidity changes. We find rather strong evidence that fund managers successfully overweight small stocks as market liquidity increases. Our study also demonstrates that it is easy to misidentify SIZE liquidity timing as MARKET liquidity timing in models that focus only on MARKET liquidity timing.     

What Does the Corporate Bond Market Know?

Do related markets reflect new information simultaneously? For high‐yield bonds, a large abnormal price decline in a corporation's most liquid bond over a month is followed by an average abnormal stock price decline of ?1.42%. This effect is larger for stocks that have increased in value and for volatile stocks. It is also larger for bonds with high coupons and shorter maturities. These results support the view that high‐yield corporate bonds have an informational edge when news is negative and stock returns are noisy, and add to the growing literature on the substantial lags in price discovery between related markets.     

Reversing the Question: On What Does the Turnover of Mutual Funds Depend? Evidence from Equity Mutual Funds in Chile

Abstract:

The purpose of this research is to study the factors that influence portfolio turnover in equity mutual funds in Chile. The main result of this research indicates that turnover is related to a combination of variables associated with efficiency, and with behavioral and agency problem hypotheses. In addition, negative effects of turnover are observed on the returns from the funds; positive effects are observed on portfolio liquidity. This study should be of interest to policymakers who regulate and monitor the delegated portfolio management industry in developing countries, as well as individual and institutionalinvestors concerned about the efficiency and performance of their investments.     

Performance implications of active management of institutional mutual funds

We use information on institutional US mutual funds to examine the performance implications of the decisions they make when actively implementing their investment processes. Our findings show that the success of active fund managers' stock selection decisions is influenced both by the aggressiveness with which they implement their processes and also the style tilts incorporated into their active positions. Our findings provide useful insights into both where one might best look when choosing an active manager and also suggest possible profitable investment strategies.     

Money Funds or Markets? Valuing Intermediary Services

Recent market developments, such as on-line trading of Treasury securities and the reduction of the minimum Treasury bill denomination to $1,000, facilitate creation of a viable alternative to U.S. Treasury money funds for investors. Comparison of a direct investment in Treasury bills to U.S. Treasury money funds shows that money fund intermediary services such as check writing, telephone exchange privileges, payroll and automatic transfers, retirement plans, and minimum initial and subsequent purchases are worth an estimated 43 basis points per year, and investors pay an additional 11 basis points for active portfolio management. An analysis of fund net cash flows shows evidence consistent with arbitrage activity between money funds and the direct investment in Treasury bills, especially for investors with few ties to the money fund manager.     

Why Does Performance Persistence Vary Among Closed-End Funds?

This study extends the research on closed-end fund performance persistence by investigating whether the persistence of both net asset value (NAV) and market price returns of U.S. registered closed-end funds is related to various fund characteristics. The sample consists of 505 closed-end funds, which are investigated over the period from January 1976 to December 1996. The analysis tests whether persistence is related to the fund characteristics size, goal, management fees, turnover, fund family membership, fund experience, and the exchange on which a fund is traded. The results vary across holding periods used to calculate persistence but are similar with respect to the NAV and market price returns. Funds with lower expense ratios and funds traded on the NYSE show more persistence of strong NAV and market price performance.     

中国开放式基金营销研究

营销是开放式基金的重要业务之一。本文试从我国开放式基金的发展历程入手,借鉴成熟资本市场的经验,探讨我国开放式基金营销中存在问题及形成原因,在结合我国资本市场的发展状况基础上,提出开放式基金营销的对策建议。     

A Tournament Model of Fund Management

Abstract:  We develop a tournament model of portfolio management and test it on UK investment trusts. Our model extends the literature by analysing middle-ranking funds who aim to beat a benchmark; spanning two periods; focusing on 'extreme' portfolios; and using a signal-extraction framework. We predict that 'losing' managers will adopt extreme portfolios, and increasingly so, the further behind the fund is and the nearer the ranking date. Losing managers will choose high/low market exposure depending both on anticipated market movements and on whether they have sufficient assets to take advantage of a rising market. Our empirical tests support these predictions.     

Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed-End Mutual Funds

Abstract:  In a dataset of weekly observations over the period since 1990, the discount on UK closed-end mutual funds is shown to be nonstationary, but reverting to a nonzero long run mean. Although the long run discount could be explained by factors like management expenses etc., its short run fluctuations are harder to reconcile with an arbitrage-free equilibrium. In time series terms, there is evidence of long memory in discounts consistent with a bounded random walk. This conclusion is supported by explicit nonlinearity tests, and by results which suggest the behaviour of the discount is perhaps best represented by one of the class of Smooth-Transition Autoregressive (STAR) models.     

我国银行间市场资金面影响因素的探讨——兼对当前市场流动性状况的分析与展望

梳理银行间市场资金面的影响因素,对于分析市场资金面的供求关系,央行评估货币政策执行效果,以及金融机构进行资产组合配置都有积极作用。文章从货币政策、商业银行存贷款增量、央行外汇占款、税收因素等多个角度,梳理了影响我国银行间市场资金面的八项因素,并在此基础上分析了今年5月份以来银行间市场资金面快速趋紧的成因。三季度,受CPI冲高回落、重申人民币汇改以及大型商业银行流动性状况好转等因素影响,银行间市场资金面紧张的格局将逐步改善。