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.     

中国证券投资者权益保护基金引入影响与绩效机理

本文从中国证券投资者保护基金成立的背景入手,探讨了基金运行模式与赔偿内容的特点;提出了借助绩效视角,对证券投资者权益保护基金的引入影响和绩效形成机理进行梳理的思路;在阐述和借鉴利益相关者理论的基础上,按照现有的管理办法,对证监会、中国人民银行、财政部、证券公司四方面主体的利益内容进行了识别与分析,从不同角度阐述了引入基金的影响,并整理归纳了基金公司的绩效形成机理。     

Middle Men: The Visible Market‐Makers

This paper presents a framework in which middlemen emerge to intermediate between ex‐ante homogeneous buyers and sellers in the presence of search frictions. Middlemen announce prices, and hold an inventory to provide more sure services. Middlemen can mitigate trade imbalances with price competition. Using this framework I illustrate how the frictionless limit can emerge and how middlemen can implement the short‐side principle for the market price to be Walrasian. The recent progress in the literature on intermediation will also be discussed.     

农村资金互助社的主要模式及绩效分析

农村资金互助社的发展对于改善我国农村金融环境有着举足轻重的作用。为了探究互助社现存的主要模式以及模式选择对其发展的影响,文章通过4个案例,从组建模式以及融资模式两个维度构建了农村资金互助社的四类不同主要模式,包括:单渠道内生型农村资金互助社、单渠道外生型农村资金互助社、多渠道内生型农村资金互助社以及多渠道外生型农村资金互助社。从绩效角度分为组织绩效、安全绩效、盈利绩效。对各类互助社相应的特点进行分析,为互助社接下来的发展模式选择提供一定的理论依据和借鉴,对政府的政策选择与制定提供相关理论依据。     

我国基金持有人选时能力的实证分析

在单个证券投资基金层面上对基金持有人的现金流加权收益率与基金资产组合平均收益率进行对比是判断基金持有人选时能力的一种新方法.实证结果表明,在2004年1月至2008年6月间,当假定基金持有人的买卖行为发生在季度末时,我国开放式股票型基金持有人实际获得的现金流加权收益率月均为0.39%,与基金资产组合月平均收益率2.4%相比,相差2个百分点,年均相差27%,基金持有人不具有选时能力.进一步的稳健性检验也支持我国基金持有人没有选时能力的结论.     

Stock Market‐Induced Currency Crises—A New Type of Twins

This paper explores the link between currency crises and the stock market in emerging economies. By integrating foreign stock market investors in a currency crisis model, we reveal a new fundamental inconsistency as a potential crisis trigger: since emerging economies' stock markets often have high returns, whereas central bank reserves grow slowly or decline, the amount of reserves foreign investors can deplete when selling their stocks and repatriating the proceeds grows over time and is considerably higher than funds that have been invested in the stock market. Capital withdrawals of foreign stock market investors can trigger currency crises by depleting central bank reserves, particularly in successful countries with booming stock markets and large foreign investment.     

Investors Facing Opportunistic Governments: Is it Really Good to “Know the Market” before Investing?

When a government cannot commit to future policies, investors face the risk of opportunistic behavior in addition to uncertain market conditions. We show that although reducing market uncertainty is sometimes essential for investment, it may aggravate problems of opportunism. The better informed the investor is before investing, the more information the government can infer from observing that investment takes place, in turn enabling more efficient rent extraction. This signaling effect can dominate; if the investor receives "too accurate" information before investing, the only equilibrium is the one in which no investment occurs.
JEL classification : D 82; L 51     

Impact of Market‐based Policies and External Fiscal Discipline on Ghana's Inflation

This study investigates the impact of liberalization of the forex exchange and financial sectors and external prudent fiscal management in Côte d'Ivoire on Ghana's inflation. We find that, in the financial sector, there is a case for liberalization, in terms of lowering inflation. However, a quasi‐liberalized system in the sector proves to have a greater potential to reduce inflation in Ghana. In the exchange market, non‐liberalization has the edge over liberalization in reducing inflation in Ghana. However, a quasi‐liberalized system in the sector has a greater potential to lower inflation. There is evidence of a strong intra‐continental transfer of inflation from Côte d'Ivoire to Ghana, but this transmission has been significantly moderated downwards by the implementation of prudent fiscal management in Côte d'Ivoire. We also find that monetary targeting and inflation targeting have deflationary effects, but we cannot claim that this has significantly reduced inflation. The implication of the result is that; a system that achieves the correct balance between the market mechanism and command system in the exchange and financial sectors has a greater potential to lower inflation in Ghana. Also, domestic monetary policies should not only be anchored on internal factors.     

上下游投资者进入高新技术产业基地时机研究

运用期权博弈理论探讨上下游投资者之间在受到协同效应和拥挤效应同时影响的情况下,投资者如何作出进入决策,以及投资者作出进入决策之间的相互影响。研究表明,拥挤效应加速了投资者进入基地,而协同效应则会推迟投资者进入基地,所以投资者需要根据这两种效应的大小来选择进入策略。当拥挤效应的作用占据主导地位时,投资者有动力抢先进入基地; 当协同效应的作用占据主导地位,而拥挤效应处于次要地位时,投资者选择等待从而作为跟随者进入基地; 当拥挤效应与协同效应的相互作用基本可以抵消时,每一个投资者都没有动力抢先进入,最终形成同时进入均衡。     

Do Market‐based Indicators Anticipate Rating Agencies? Evidence for International Banks

This paper analyses the ability of credit default swap (CDS) spreads, bond spreads and stock prices to anticipate the decisions of the main rating agencies, regarding the largest international banks. Conditional on negative rating events, all the three indicators show significant abnormal changes before both announcements of review and actual credit rating changes, but rating actions still seem to convey new information to the market. Results for positive rating events are less clear‐cut with the market indicators generally showing abnormal behaviours only in conjunction with the events. As for the predictive power of the financial indicators examined, the CDS market is particularly useful for negative events and stock prices for positive events. However, all indicators also send many false signals and are to be interpreted with care.     

经理特性对基金业绩的影响及内在归因分析

本文通过建立截面数据多元回归模型,实证检验了基金经理教育水平及其他个人特性对基金业绩的影响.研究发现不同特性的基金经理存在业绩差别,具体而言,年老的海归经理业绩较好且统计显著;男性经理业绩比女性经理业绩差;CFA认证提高基金业绩,而MBA学位对业绩有反向作用.进一步进行业绩归因分析,表明这些业绩差别大部分可用基金经理的风险和费用偏好差异解释.     

对我国共同基金监督机制的法学反思——澳大利亚修法的启示

我国信托型共同基金的内在结构决定了资产保管人与基金管理人之间必然存在着职权运用上的张力与冲突,任何试图让二者协调运达致和谐与平衡的做法都只是空想。通过澳大利亚修法的视角再次证明,在信托体制下,资产保管人与基金管理人之间权力配置的矛盾深深地内生于信托制度之中,根本无法彻底根除。鉴于此,适时引入公司型共同基金,成为遏制基金丑闻并推动我国基金业稳健发展的重要举措。     

我国基金管理模式的比较研究

文章选用中国证券市场自开放式基金发行以来的全部股票型开放式基金数据,对我国基金管理模式进行了对比研究,报告了不同基金管理模式下的基金业绩和风险的差异。实证结果表明：团队管理的基金业绩要差于单一经理管理的基金,团队的业绩与基金管理团队成员的数量非线性相关,尤其是两名经理管理时基金业绩更差。不同背景的经理加入,给团队业绩带来的是负面的影响。基金团队管理并不会直接增加基金的风险行为,团队管理的基金有更低的换手率,能够吸引更多的资金流入,管理的规模也更大。最后在文章实证研究结果的基础上提出未来我国基金管理公司在设置团队管理模式时,应体现惩罚与激励相结合的思想的建议,更好地实现团队管理模式推出的初衷。     

中国基金家族内部利益输送行为研究

基金家族的繁衍和扩张是近年来国内外基金市场发展的重要特征。基于基金资金流-业绩分段线性函数,构建了基金经理和基金家族行为模型,分析表明基金经理风险投资决策取决于其投资管理能力,基金家族利益输送行为则取决于其资金流-业绩关系。利用2008至2016年中国开放式股票型基金数据进行实证研究,结果表明:同家族高-低价值基金组合月度收益率的差异比不同家族基金组合的差异显著高约9-13个基点。这意味着样本区间内中国基金家族存在由低价值基金向高价值基金的内部利益输送行为,而且基金家族的年龄越大、规模越小,其利益输送行为越显著。研究从投资者行为的新视角揭示了基金家族利益输送行为的生成机理,凸显了以投资者行为为基础完善中国基金公司内部治理机制的重要性。     

投资者有限注意对投资业绩的影响

利用人人贷平台的交易数据,实证研究了投资者的有限注意对其投资业绩的影响。用投资者在投资时可选信用认证借款笔数表征投资者的注意力有限程度——可选信用认证借款笔数越多,投资者的注意力就越有限。研究发现:随着借款数量的增加,投资者的业绩随着可选借款笔数的增多而呈先改善后恶化的倒U形变化;投资者的实际投资业绩与假设的拥有注意力投资者的差距越来越大。进一步利用平台上两次外生冲击识别投资者有限注意与投资业绩的因果关系。稳健性检验结果显示,在更换了投资者投资业绩的度量指标后,投资者的投资业绩与可选信用认证借款笔数之间仍存在类似的倒U形关系。     

Market‐Based Measures of Monetary Policy Expectations and Their Evolution Since the Introduction of the Euro

The paper considers the relation between monetary policy expectations and financial markets in the case of Europe. A number of money market instruments are compared, with the result that the 1‐month forward interest rates extracted from the Libor yield curve has the best prediction power of the future monetary policy path. These forward rates have been used to study the evolution of market expectations regarding the monetary policy of the European Central Bank (ECB). The sharp increases and the following decreases in interest rates during 2000–2001 have reduced the predictive power of money market instruments, but smoother management of interest rates and better communication from the ECB has helped to improve the forecasting power of money market instruments.     

IPO配售中的利益联盟——基于基金公司与保荐机构的证据

文章通过考察基金公司支付给保荐机构的佣金与IPO网下发行获配概率之间的关系,研究了我国IPO配售中的公平性问题.研究结果显示,在IPO前一年,基金公司支付给保荐机构的佣金越多,其获得配售的概率越高,且这一现象主要存在于收益率较高的样本组.由于我国保荐机构并没有自主配售权,文章进一步考察了基金公司为提高获配概率所采取的措施.研究发现,基金公司主要通过提高报价和申购数量的方式达到获配的目的,这一现象亦在收益率较高的样本组中更加明显.上述证据表明,我国IPO配售中存在基金公司与保荐机构结成利益联盟的现象,即保荐机构获得了高额的佣金,基金公司则提前从保荐机构获得发行人的敏感信息,重点参与收益率较高的新股发行项目以获得丰厚的收益.文章的结论对于监管部门改进IPO询价制度具有借鉴价值.     

Managed Futures for Long‐Term Investors: A DEA Ranking Analysis

This study proposes an alternative Data Envelopment Analysis ranking model to evaluate the relative performance efficiency of commodity‐trading advisors. I measure the performance efficiency using the decision‐making process quality/trading skills framework and depart from the traditional risk–return framework. The Data Envelopment Analysis rankings produced some interesting results. First, similarly to the previous studies, I successfully isolated two ‘superstar’ commodity‐trading advisors with the highest Sharpe ratios as the Grade A commodity‐trading advisors. However, as an improvement over the similar studies that used the traditional risk–return framework, I also isolated two commodity‐trading advisors with average and below‐average Sharpe ratios as Grade A commodity‐trading advisors.     

Bank-Affiliated Mutual Fund Managers' Trading Patterns of Parent Banks' Stocks: International Evidence

The authors explore factors influencing bank-affiliated funds' decisions to increase their holdings of parent banks' stocks by analyzing survey evidence from 113 fund managers from the United States, Canada, Great Britain, Spain, and Poland. The results suggest that the propensity to buy the controlling banks' equity among financial professionals at the time of the stock market meltdown was shaped rather by the individual taste for their assets as consumption goods than by external pressures by direct superiors or the parent banks' management. Additionally, this predisposition was influenced positively by the fund managers' tendency to herd and fund participants' expectations as well as managers' sensitivity to eventual losses and previous work experience in the owning banks. The major investment segment represented by the fund also seems to be important, with an increasing level of risk acting as the denominator. Overall, this study extends the understanding of behavioral factors in bank-affiliated funds' allocation decision making.     

技术交易“延迟”问题中的时机选择策略

从技术交易的视角来分析技术推广应用过程中的延迟问题,属于技术创新"事后"问题的范畴。建立不完全信息博弈模型来描述和分析出售者(专利权人)和购买者之间关于"时机选择"和"购买意向"的博弈行为。分析表明,专利权人因具有垄断权而倾向于拖延交易,并且拖延行为会受到客观条件(如市场前景和替代威胁等)的影响;购买者在替代威胁不随时间改变的情况下不宜轻易显露自己的购买意图。