Performance of Enhanced Index and Quantitative Equity Funds

We examine the performance of enhanced index and quantitative equity funds. Both types of funds use quantitative models in investment selection. Enhanced index funds set an explicit objective to outperform a benchmark index. Proponents of quantitative funds argue that their management style takes human emotions out of the investment decision‐making process and leads to more objective stock selection. We find evidence of outperformance by quantitatively managed growth funds, especially those investing in small cap stocks.     

The Determinants of the Intermediary Spread: Evidence from Australian, UK and USA-based International Equity Funds

This paper develops and tests a new measure of mutual fund performance, based on Brennan's (1993a) equilibrium model of the pricing of retail financial products, which assumes that search costs of investors are non-trivial and cause the demand for mutual funds to be inelastic, thus creating an intermediary spread. This implies that the marginal costs of the intermediary spread in the form of expenses and sales load must be explicitly traded off against the marginal benefits in terms of the fund's return relative to a benchmark. The measure is used to evaluate the performance of twelve USA, eight UK and five Australian-based internationally diversified equity funds over the period 1982–95, and provides new insights into their performance in ways that are not revealed by the Jensen measure.     

Persistent performance in the mutual fund market: Tests with funds and investment advisers

Recent studies of mutual funds have concluded that there is some evidence of superior performance. We test for the existence of superior performance and its persistence with mutual funds and mutual fund investment advisers on a data set of monthly returns from 1979 to 1989 for 1,387 mutual funds grouped by 243 advisers. We find no evidence of superior performance or its persistence but we do find significant evidence of persistence of inferior performance. Consistent with previous studies our findings depend on the benchmark chosen, with multiple benchmarks producing a larger degree of inferior performance.     

Jensen's alpha and the market‐timing puzzle

Theory predicts that market‐timing activities bias Jensen's alpha (JA). However, empirical studies have failed to find consistent evidence of this bias. We tackle this puzzle in a nested model analysis and show that the bias contains an exogenous market component that is unrelated to market‐timing skill. In a comprehensive empirical analysis of US mutual funds, we find that the timing‐induced bias in JA is mainly driven by this market component, which is uncorrelated with measured timing activities. Measures of total performance that allow for timing activities are virtually identical to JA, even if timing activities are present in the evaluated fund. Hence, we conclude that JA is a sufficient measure of total performance.     

A performance measure for mutual funds using the Connor-Korajczyk methodology: An empirical study

This article examines the performance of a sample of bond, stock, and balanced funds. Close attention is paid to the bond versus equity composition of the mutual funds and how this asset composition affects the performance measure. This research includes the period from January 1977 through March 1984. The results of the analysis show that none of these mutual funds categories has outperformed the market. Fund managers in this sample are unable to predict security prices consistently to warrant the associated costs. In addition, the “goodness of fit” varied significantly between the types of funds examined.     

The information content of portfolio performance history and persistence in fund performance: An examination of rollover funds

This paper examines the relation between past and future performance and explores the optimal past performance information set for a subset of Australian investment funds, namely, rollover funds. Four categories of funds are examined: fixed interest; multi-sector yield; multi-sector balanced; and multi-sector growth. This study extends the performance persistence literature through the use of three methodologies (1) regression analysis;(2) non-parametric contingency tables; and (3) top (and bottom) quartile rankings to explore the information content of fund performance history for groups of funds differentiated by investment objective. The results of the regression analysis suggest that there is evidence in support of persistence in performance for the fixed interest funds (particularly when performance is measured in terms of Jensen Alpha) but much more ambiguous evidence in relation to the multi-sector funds. Contingency table analysis of fund performance histories of varying lengths reveals quite different results depending upon whether raw or risk-adjusted returns are used. Use of raw returns creates an overall impression of performance reversals, whereas use of risk-adjusted returns suggests the existence of performance persistence. Finally, the use of prior period top-quartile and bottom-quartile ranking are found to show strong evidence of persistence in respect to the risk-adjusted performance of fixed-interest funds.     

Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market

The present study examines a series of performance measures with the aim of solving the ex-post verification problem. These measures are employed to test the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998–2004. Correctly adjusting for risk factors and documented portfolio strategies explains a significant part of the reported persistence. The intercept of the augmented Carhart regression is proposed as the most appropriate performance measure. Using this measure, weak evidence for persistence, only before 2001, is documented. The growth of the fund industry, the direction of flows to past winners and the integration in the international financial system are suggested to be the reasons for the absence of performance persistence.     

The residual market factor,the APT,and mean-variance efficiency

The rapidly increasing volume of both published and unpublished work on the arbitrage pricing theory (APT) of Ross (1976) has given rise to a number of misunderstandings at the interface of theoretical and econometric work. In this article we extend the theoretical structure of our previous work (McElroy and Burmeister, 1985, 1988; Burmeister and McElroy, 1987, 1988) to provide a broad yet rigorous framework both for econometric estimation and for better economic interpretation of new empirical results. We begin with the case where allK factors are observed, and then present the second case ofK−1≡J observed APT factors and one unobserved factor, theresidual market factor introduced in McElroy and Burmeister (1985). The economic interpretations for equivalent specifications of this model are discussed, and we enumerate several immediate payoffs to these specifications. The main new results are concerned with the sometimes intricate relationships among APT models withK factors and APT models withK factors that are constrained to satisfy mean-variance efficiency restrictions. These results are not only of theoretical interest, but more importantly they provide the basis for econometric estimation and testing of nested hypotheses. These econometric issues are discussed in detail.     

Index Revision,House Price Risk,and the Market for House Price Derivatives

It is widely recognized that options and futures markets for housing can reduce and manage the risks inherent in consumers’ large investments in housing equity. The integrity of such markets depends, however, upon the use of transparent and replicable benchmarks for house prices and settlement values. In the USA, a series of state and metropolitan indexes have been produced by a government agency (the US Office of Housing Enterprise Oversight, OFHEO), and they have been widely disseminated for over a decade. By construction, the entire historical path of each of these indexes is, in principle, subject to revision quarterly, that is, every time the index is recalculated and data are published. This paper provides the first analysis of the magnitude and bias of these revisions, and it analyzes their systematic effects on the settlement prices in housing options markets. The paper considers the implications of these magnitudes for the development of risk-reducing futures markets.

Models,simulation and convergence in the polity: An essay

The essay sets out to illustrate humanity’s dependence on the ubiquity of modelling and simulation. As such, the essay raises issues that are inherent in modelling and simulation now and others that are likely to in the future. The emphasis will be on the ubiquity of modelling and simulation, and not on any instance of its practice. It does not describe the outcome of a particular research project but describes situations that are likely to face modelling and simulation as the polity searches for guidance, no more, on the degree of relevance, reasonableness and robustness modelling, and simulation may offer on the conduct of life in a world now showing signs of overcrowding. The polity often assumes that modelling and simulation represent reality more closely than they actually do leading to important differences between the real world occupied by all life on Earth and the world portrayed by models and simulations. The rapid advance of computer power has led to increasingly complicated models whatever their form. The boundary between complication and complexity is fuzzy, but once crossed the guidance sought from modelling and simulation becomes increasingly opaque. Complexity involves dynamic interactions (situations) between six themes (social, technology, economics, ecology, politics and values/norms (the STEEPV acronym)) creating the notion of convergence related to situations. The essay makes reference to convergence of nanotechnology, biotechnology, information technology and cognitive sciences (NBIC) that has led to ideas of improving human performance. In reality NBIC is not about nanotechnology, which is not a unified field, but about the convergence of many threads of science, technology and engineering, and society. Models and simulations have played such an extraordinary but largely unnoticed part in this convergence that they may be regarded as the convergence and that its progress depends upon them. Perhaps there are no better examples than the penetration of mathematics and computable models into biology and living systems. If human performance can be improved its genesis will lie there providing the real world allows convergence in desirable ways rather than expecting the natural world to become obedient to computable, partial models.     

市场模式、政府模式与城商行流动性风险化解——一个三期博弈的分析框架

分析城商行流动性风险化解中的政府手段和市场机制,对于下一步规范城商行营商环境、化解流动性风险具有参考意义。本文首先通过银行间的博弈模型,发现政府持股比例越高会增加城商行同业负债比例,进而提高流动性风险发生的可能性;当经济处于下行周期时,全社会资金需求不足,大型银行资金投放的机会成本降低,有利于城商行获得同业负债,但却进一步积累了流动性风险。其次,通过系统GMM对2011—2018年80家城商行的非平衡面板数据进行分析,实证结果验证了理论假说。最后,结合理论与实证分析,进一步提出政府行为边界,破除隐性担保,建立城商行资金内部定价机制以及完善城商行监管体系等方面的政策建议。     

Insider ownership, ownership concentration and investment performance: An international comparison

This article makes two important contributions to the literature on the incentive effects of insider ownership. First, it presents a clean method for separating the positive wealth effect of insider ownership from the negative entrenchment effect, which can be applied to samples of companies from the US and any other country. Second, it measures the effects of insider ownership using a measure of firm performance, namely a marginal q, which ensures that the causal relationship estimated runs from ownership to performance. The article applies this method to a large sample of publicly listed firms from the Anglo-Saxon and Civil law traditions and confirms that managerial entrenchment has an unambiguous negative effect on firm performance as measured by both Tobin's (average) q and our marginal q, and that the wealth effect of insider ownership is unambiguously positive for both measures. We also test for the effects of ownership concentration for other categories of owners and find that while institutional ownership improves the performance in the USA, financial institutions have a negative impact in other Anglo-Saxon countries and in Europe.     

论营商法治环境评价的理路与指标体系

基于中国营商法治环境建设实践与未来走向的理性视角,结合营商环境评价与法治评价的跨学科研究方法,采用融合顶层设计、评价方法与标准、评价框架在内的体系性思路,兼顾形式法治与实质法治的双重需求,从宏观层面搭建涵盖营商法制环境、政企互动环境、司法能动环境和社会信用环境在内的营商法治环境评价框架,围绕共识化、可量化、可回溯和企业主体化的指标设计原则,构建营商法治环境评价指标体系模型,并对微观层面的指标择取逻辑作出阐释。     

Accounting for Accountability and Management in NPOs. A Comparative Study of Four Countries: Canada, the United Kingdom, the USA and Spain

Financial and non–financial information are developing issues in the NPO field. Countries such as Canada, the UK, the USA and Spain have recently updated their accounting systems for NPOs through the implementation of full accrual basis to enhance their accountability and the usefulness of accounting information for decision–making purposes. The information provided by accrual accounting will be incomplete until performance indicators are developed. The performance indicators are essential for making budgets, for planning and forecasting, for evaluating the financial needs, for carrying out benchmarking with other NPOs or governmental entities, and for explaining the welfare activities realised to donors.     

Environmental Conditions,Reservation Prices,and Time on the Market for Housing

A general analytical model to describe the impact of environmental disamenities on duration of sales is derived. A statistical technique to recover a sellers reservation price is proposed. An econometric procedure that consistently estimates market duration and a sellers reservation price is described. An application to the impact of highway noise on property values and market duration is presented. The estimation results show that, while highway noise has a significant negative impact on forming reservation prices and predicting sale prices, the noise effect on duration of sales is not statistically significant. Empirical evidence also shows a negative impact of market duration on reservation prices, which indicates an updating process for reservation prices over time.     

Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds

Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance and extend the analysis to include the relatively new measure of volatility timing. This is of particular relevance to our data set, as high levels of volatility persistence are prevalent in Australia. In addition we consider the stability, asymmetry and seasonality of the various performance and risk measures. A survivorship adjustment procedure is also employed in order to assess the impact of survivorship on selectivity, market timing and volatility timing performance.     

Forecasting and Arbitrage of the Nikkei Stock Index Futures: An Application of Backpropagation Networks

A neural network model was used in forecasting the basis in SIMEX Nikkei Stock Index futures. Results for out of sample show that the neural network forecast performance was better than that of the ARIMA model. Also, a two-way ANOVA confirms that the employed neural network was able to provide the trader with more arbitrage profits than the traditional cost-of-carry model even though it observed relative less profitable arbitrage timing. The results can be attributed to the network';s higher ability to capture nonlinear market patterns.     

Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds,estimation and removal

We analyse the primal-dual upper bound method for Bermudan options and prove that its bias is inversely proportional to the number of paths in sub-simulations for a large class of cases. We develop a methodology for estimating and reducing the bias. We present numerical results showing that the new technique is indeed effective.     

The impact of shareholders and creditors rights on IPO performance: An international study

This paper examines the impact of cross-country variation in shareholders' and debt holders' rights on post-IPO performance and survival of newly listed stocks across the globe. Using a sample of 10,490 initial public offerings (IPOs) in 40 countries between 2000 and 2013, we find that post-IPO performance and survival is better in countries with stronger shareholder protection, but the impact of creditor protection is negative i.e. stronger creditor protection leads to poor post-IPO performance and survival. This effect is driven by rules requiring creditors’ consent for company reorganization and the mandatory replacement of incumbent managers. Reputable IPO advisors exacerbate the positive impact of shareholder rights and the negative impact of creditor rights.