Australian Art Market Prices During the Global Financial Crisis and Two Earlier Decades

This study constructs a quarterly hedonic price index using 64,203 artworks, by seventy‐one well‐known modern and contemporary Australian artists, sold at auction houses over the period 1986–2009. The hedonic regression model includes characteristics such as name and living status of the artist, the size and medium of the painting, and the auction house, quarter and year in which the painting was sold. The resulting index indicates that returns on Australian fine‐art averaged one per cent in nominal terms over the period from quarter 1 1986 to quarter 4 2009 with a standard deviation of seventeen per cent. During the global financial crisis spanning quarter 1 2008 and quarter 4 2009, the average art returns declined in nominal terms by close to six per cent with a standard deviation of twenty‐one per cent. This study also shows that over the entire period the art market only marginally underperformed the stock and housing markets. The low correlations between these markets suggest the benefits of portfolio diversification.     

我国证券投资基金总体绩效的实证分析——基于总业绩评价理论

本文基于2007—2010年间数据,对我国开放式证券投资基金中的股票型基金、混合型基金和债券型基金的总体绩效进行了比较实证分析。研究发现:各股票基金的业绩表现极不均衡,基金经理的选股能力参差不齐,但选股能力或者择时能力有了明显的提高;各混合型基金的绩效分布都较为接近正态分布;我国债券型基金的业绩表现基本稳定,并没有随着股票市场的大起大落而表现出明显的好与差,其风险收益均大于与市场同风险的投资组合的风险收益,但是这种优势并不太明显。     

A reliable performance measure to differentiate China’s actively managed open-end equity mutual funds

We compare different fund performance measures to examine which performance measures can generate risk-adjusted returns between high ranked and low ranked China’s actively managed open-end equity mutual funds. Our results show that only the six-factor (five factors (market, size, b/m, profitability & Investment facotrs) plus a momentum factor) alpha as the performance measure meets the criteria. Separated by the six-factor alpha, better performing funds have a larger asset under management, a better past 6-month cumulative return, a better stock picking ability, and a higher percentage of hybrid funds. Through our sample period from July 2004 to December 2015, the highest ranked quintile funds generate a monthly risk-adjusted return of 0.24% more than the lowest ranked quintile funds and the six-factor alpha reliably selects a better fund portfolio in both bear and bull markets on the basis of both fund return and holding data. Furthermore, our results from fund trading data show that funds with the highest six-factor alpha rank demonstrate a better trading skill in bear markets, suggesting that those better performing funds exhibit their market timing and stock picking abilities when investors need them most.     

Contingent convertible bonds: Who invests in European CoCos?

Using a comprehensive data set on issuances and holdings of contingent convertible debt instruments (CoCos) issued by European banks, we investigate who invests in European CoCos. The results indicate that most European CoCos are not directly held by euro area investors. Foreign investors outside the euro area and investment funds located in Ireland and Luxembourg hold the large majority. Euro area banks, insurers and pension funds only have very limited direct exposures. Households in the euro area hold almost no direct positions in European CoCos, although there could be indirect holdings through non-euro area entities and euro area investment funds. Concerns for contagion through cross-holdings of CoCos by banks seem to be unwarranted.     

The Impact of Euro on Sectoral Equity Returns and Portfolio Risk

This paper examines the implications of the adoption of the euro and the resulting monetary policy integration for investors in the Euro area in terms of stock market diversification. In particular, we study the difference between investment strategies based on country indices and on sector indices. In addition, we use GARCH-M to model return and volatility for the daily sectoral euro equity indices from 1992 to 2009 to analyze how and to what extent volatility in the sector equity index is driven by shocks occurring in the US, aggregate European equity index, aggregate Euro Zone equity index, and the global equity index. We find strong evidence that diversification over sectors yields more efficient portfolios than diversification over countries and that the volatility spillover of the aggregated Euro zone equity return index on the sectoral equity return index has increased after the launch of the euro.     

Profiteering from the Dot‐Com Bubble,Subprime Crisis and Asian Financial Crisis

The paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot‐com bubble of Nasdaq. It examines the profitability of technical analysis (TA) strategies generating buy and sell signals, with and without our proposed trading rules. The empirical results show that, by applying long and short strategies during the bubble formation and a short strategy after the bubble burst, it not only produces returns that are significantly greater than buy‐and‐hold strategies, but also produces greater wealth compared with TA strategies without trading rules. We conclude that these bubble detection signals help investors generate greater wealth from applying appropriate long and short moving average (MA) strategies.     

Irrational Mutual Fund Managers: Explaining Differences in Their Behavior

Documenting the disposition effect for a large sample of mutual fund managers in the United States, we find that stock-level characteristics explain the cross-sectional variation of the effect. The disposition effect, which is the tendency to sell winner stocks too early and hold on to loser stocks for too long, is more pronounced for fund managers who invest in stocks that are more difficult to value. Using different measures of stock and market uncertainty, we show that mutual fund managers display a stronger disposition-driven behavior when stocks are more difficult to value. We also find that the level of the disposition effect is monotonically increasing with the level of systematic risk (i.e., beta). In addition, we document that the trading behavior of mutual fund managers is partly driven by attention-grabbing stocks (dividend-paying stocks). Overall, our results suggest that stock-level uncertainty and trading of attention-grabbing stocks amplify the disposition effect and that differences in the effect can be explained by mutual fund managers' investment styles. Given that mutual funds hold a large fraction of the U.S. equity market, our findings add to the ongoing discussion whether professional investors can create stock mispricings and shed new light on market efficiency.     

WHY HAVE U.S. HOUSEHOLDS INCREASINGLY RELIED ON MUTUAL FUNDS TO OWN EQUITY?

U.S. households have increasingly used mutual funds to own equity outside of retirement accounts owing to two developments. The first is a decline in equity mutual fund loads, which are negatively correlated with stock ownership rates, which have doubled owing to greater ownership through mutual funds. The second is improved confidence in future family finances. Both effects are consistent with recent models of equity participation, in which lower asset transfer costs and lower income risk induce equity investing by middle‐income households, who—in practice and owing to diversification considerations—are more likely to indirectly hold stocks through mutual funds.     

The Relationship between Australian Mutual Fund Fees and Risk‐Adjusted Performance in Differing Economic Conditions

We find that Australian mutual fund investors should avoid high fee funds as these funds generate relatively low after‐fee risk‐adjusted returns both unconditionally and in weak economic conditions. This result is different from some of the previous findings which showed that US mutual funds with relatively high expense ratios may generate relatively higher risk‐adjusted returns during recessions relative to non‐recessions, although their unconditional alphas may be negative. We find some support for the Glode hypothesis in surviving Australian wholesale funds. High‐fee surviving Australian wholesale funds perform relatively strongly in both weak economic conditions and unconditionally. High‐fee funds in other types of Australian mutual funds generally do not perform strongly either in weak economic conditions or unconditionally. Amongst low‐fee funds, we commonly find that those that perform well unconditionally and well in weak economic conditions do charge more than those that perform well unconditionally and poorly in weak economic conditions. Amongst low‐fee funds, it is often true that those that perform poorly unconditionally but well in weak economic conditions can charge more than those that perform poorly unconditionally and poorly in weak economic conditions.     

The Pricing of Italian Equity Returns

In this paper, we investigate the relationship between common risk factors and average returns for Italian stocks. Our research has identified the Italian stock market's economic variables by using the results from factor analyses and time series regressions. We study several multi‐factor models combining the relevant macroeconomic variables with the mimicking equity portfolios SMB (small minus big) and HML (high minus low) proposed by Fama and French (1993). The key question we want to ask ourselves, is whether the influential role of the size and book‐to‐market equity factors in explaining average stock returns can stand up well when competing with some macroeconomic factors. In other words, do stock returns carry some risk premium that is independent of either the market return or the economic forces that underlie the common variation in returns? Our empirical work estimates risk premiums using both traditional two‐pass procedures and one‐pass (full information) methodologies. We show that only the market index and variables linked to interest rate shifts are consistently priced in the Italian stock returns. The role of other factors, and in particular both the size and the price‐to book ratio, are crucially dependent on the estimation procedure. (J.E.L.: G11, G12).     

行业收益、国际航运业IPO与船舶融资选择——基于1984～2007年数据分析

在阐述行业收益差异基础上分析影响航运股权融资因素,针对航运企业IPO的不同表现特征选取了1984～2007年间,在主板证券交易所首次发行股票的143家全球航运企业,通过计算超常持有期收益率(BHAR)和累计超常收益率(CAR),分析其短期与长期价格表现。认为航运企业首次公开发行抑价与公司年龄、上市所在交易所的声誉和发行期间市场行情正相关,与承销商声誉负相关;从长期来看,航运企业首次公开发行五个月后表现欠佳。希望通过研究某些体制因素如何影响航运企业IPO抑价,以期对船舶融资选择提供相关建议。     

PURE INDICATOR OF RISK APPETITE

We study the concept of risk appetite, that is investors' willingness to buy risky assets. Market players and researchers have tried to find a proxy for it, notably by means of spreads in high yielding markets like credit or emerging markets. However, these measures might be biased because they hinge on series of prices that include market movements due to the re-pricing of both systemic and specific risks. Being macro factors that affect all the assets in the universe, risk appetite and risk aversion can only produce systemic risk re-pricing. We apply a methodology to correct this bias. We analysed emerging market debt capital markets and compute a systemic risk only indicator that enables one to ascertain more precisely periods in which risk appetite might have driven market returns. We find that from the end of 1997 to 2004 only about 30 per cent of the return of the EMBI+ might have been due to changes in risk appetite.     

Regional stock market integration in Singapore: A multivariate analysis

This paper evaluates the time-varying integration of the Singapore stock market in the ASEAN-5 region based on a conditional version of the International Capital Asset Pricing Model (ICAPM) with c-DCC-FIAPARCH parameters. This model allows for dynamic changes in the degree of market integration, regional market risk premium, regional exchange-rate risk premium, and domestic market risk premium. Our findings show several interesting facts. First, the time-varying degree of integration in the Singapore market is satisfactorily explained by the level of trade openness and the term premium of US interest rates, which have recently tended to increase, however these markets remain substantially segmented from the world market. Second, the local market risk premium is found to explain a significant proportion of the total risk premium for emerging market returns. Our findings illustrate several important implications for portfolio hedgers for making optimal portfolio allocations, engaging in risk management and forecasting future volatility in equity markets. Our results are also of interest for both policymakers and investors, with respect to regional development policies and dedicated portfolio investment strategies in the ASEAN-5 region.     

On the dynamic effects of global commodities on stock market blocks in Africa

This article explores the commodity–equity links in the Africa markets by distinguishing between short- to long-run co-movements driven by market shocks. Using the value-weighted average method, available Africa’s stock markets are aggregated into four market blocks. Global oil and gold returns are used as proxies for commodities. Coherency between pairs of markets is examined with the use of continuous Morlet wavelet transform. Results reveal abstemiously high degree of co-movements between the commodity–equity markets in the short- to medium-term frequencies with nonhomogenous lead–lag nexuses, signifying greater benefits of diversification in the long-term. These findings provide investors with relevant strategies for hedging.     

Risk aversion and portfolio allocation to mutual fund classes

The major factors affecting fund flows allocated to a range of mutual fund classes bearing different risk–return profiles are studied. The flexible functional form of the Almost Ideal Demand System (AIDS) is applied to identify the major drivers of Greek investors' demand patterns for equity, bond, balanced and money market funds, given the strong growth rates of the domestic fund market and the economy's latest entry into the EMU. An increase in household expenditure is shown to have a positive impact on mutual fund flows. An adverse price impact, however, may erode budget benefits towards a fund class, as the price factor appears to be important. The cross-price effects provide insight on complementarity and substitutability among the mutual fund classes. Variations in investors' risk aversion attitudes affect demand for mutual funds and can result in asset reallocation between the asset classes. The conclusions have useful policy implications particularly to asset fund management and portfolio allocation strategies and can be compared with established mutual fund markets.     

A Report on the March 2001 Investor Sentiment Survey

Steep declines in the value of publicly traded stocks in the first quarter of 2001 left many market observers speculating whether investor sentiment had undergone a significant and negative change, and whether investors would subsequently flee stocks in favor of less volatile investment options. A survey study of investor expectations and confidence was conducted in late March 2001 to capture investor sentiment and compare it with similar measures taken in surveys conducted in 1998 during a period of rapid market incline. The surprising results are that there are only minor differences in investor sentiment in terms of: (a) confidence in the long and intermediate performance of the stock markets; (b) composition of stocks versus bonds in their portfolios; (c) the intention to buy on the dips; (d) the amount of risk investors plan to undertake. The high level of investor confidence observed in 2001 (in spite of a severe drop in market value) is potentially accounted for by psychological processes that influence investor judgment. These processes include reliance on image-driven affective evaluations of common stocks that contribute to excessive optimism.     

私募股权投资基金薪酬合约的激励机制研究

利用合约经济学的分析方法研究私募股权投资基金的薪酬合约,我们发现:在不对称信息下创业投资家的道德风险会造成显著的代理成本.并且私募基金管理的代理成本与创业投资家的能力、风险厌恶程度以及私募股权投资基金投资组合的风险正相关;同时我们发现在私募股权投资基金的薪酬合约中引入创业板市场的景气状况作为投资组合收益的基准可显著提高创业投资家的努力激励,并显著降低私募股权投资基金管理的代理成本.     

Market timing in precious metals is detrimental to value creation

Few number of days accounts for most of the returns delivered by precious metals (gold, silver, platinum and palladium). A passive buy and hold investment strategy in precious metals outperforms market timers who miss the best 5, 10 and 50 days by 51%, 71% and 98%, respectively. Likewise, long-term performance of precious metals is largely determined by the return of few outliers (black swans). Thus, investors should reconsider trying to predict when to be in and out of the precious metals markets and support investing in precious metals ETFs.     

The Relationship Between Economic Factors and Equity Markets in Central Europe

This paper investigates the possibility that newly-emerging equity markets in Central Europe exhibit semi-strong form efficiency such that no relationship exists between lagged values of changes in economic variables and changes in equity prices. We find that while there are connections between the real economy and equity market returns in Poland and Hungary, these links occur with lags, suggesting the possibility of profitable trading strategies based on public information and rejecting semi-strong efficiency. For the Czech Republic the situation is more complex. In recent periods, little connection exists between lagged economic variables and equity market returns. Although this finding might be viewed as consistent with semi-strong efficiency, in fact there is also little connection between current economic values and stock prices in the Czech Republic. Thus, instead of processing information efficiently, the Czech market appears to be entirely divorced from the real world. It is suggested that the difference in the current status of these markets may be due to the different methods by which they were created.     

中国资本市场对绿色投资认可吗?——基于绿色基金的分析

在可持续发展思想的指导下,人们对绿色投资的生态价值已达成共识.而绿色投资能否兼顾环境绩效和财务收益的双重目标,无论是在理论上还是实证上都还没有得到统一的结论.文章以绿色基金的绩效评估为切入点,研究了我国绿色投资的收益与风险.文章首先从环境金融、社会责任投资和金融创新视角系统梳理了绿色投资研究的发展脉络,然后选取22只绿色基金,在选定市场基准和匹配非绿色传统基金对照组的基础上,评价了绿色基金的直接收益和风险以及基于单因素和多因素模型(Carhart四因素模型)的风险调整收益,并进一步分析了基金投资者(绿色投资者)的收益敏感性.基于单因素模型的绩效评价显示,现阶段我国绿色基金的风险调整收益要低于市场基准和传统基金,投资策略差异和成立时间长短对基金收益和风险有影响.基于Carhart四因素模型的分析结果显示,我国绿色基金的投资表现要显著低于市场平均水平,市场风险因子、价值因子和动量因子可以较为客观地解释绿色基金的收益.另外,绿色基金投资者的收益敏感性不高.文章为尚有限的我国绿色投资研究提供了新的直接的证据.