Country and industry concentration and the performance of international mutual funds

We examine the relation between country and industry portfolio concentration and performance using a data set of international equity mutual funds. When sorted by concentration measures, funds in the most concentrated quintile outperform those in the most diversified quintile by 0.16% and 0.30% monthly in country and industry dimensions, respectively. Further analysis shows that the superior performance of concentrated funds is largely driven by industry rather than country concentration, suggesting the existence of global industry private information. Finally, we show that industry-concentrated funds rotate top-holding industries less frequently than their diversified counterparts, and that the industries these funds purchase subsequently outperform the industries they sell.     

A meta-analysis of mutual fund performance

The purpose of this article is to introduce the statistical technique of meta-analysis of regression results using as our example the Lee and Rahmann (1990) study of the performance of 93 mutual funds. Specifically, we derive and estimate the meta-analysis formulas, explicitly adjusted for correlated regression residuals, which quantify the effect of sampling error on their reported regression results. Our analysis of selectivity reveals some real variation around a mean risk-adjusted excess return of about 1% per year; while our analysis of market timing reveals some real variation around a negative mean value and confirms that the correction for heteroscedasticity does make a difference. An examination of the 80% probability interval for the mean selectivity value indicates that the best mutual funds can deliver substantial risk-adjusted excess returns.     

Possible explanations of no-synergy mergers and small firm effect by the Generalized Capital Asset Pricing Model

The Sharpe-Lintner Capital Asset Pricing Model (CAPM) and the General Capital Asset Pricing Model (GCAPM) suggested by Levy (1978), Merton (1987), and Markowitz (1989) are compared and analyzed. Under the GCAPM we obtain the following main results: 1) the value additivity principle breaks down, which explains mergers and acquisitions; 2) beyond a certain limit, the profit from additional merger is negative; and 3) in a GCAPM equilibrium, small firms earn an abnormal profit in comparison to what is predicted by the CAPM. These results, which are indeed observed in the market, are fully consistent with the GCAPM, but are in contradiction to the CAPM.     

美国货币政策溢出效应、中国资产价格波动与资本账户管理

本文以2016年美国加息事件为背景,研究美国货币政策对中国资本流动、资产价格和宏观经济的影响。基于小国开放动态随机一般均衡模型,本文梳理了美国货币政策溢出效应的具体传导渠道,发现国外利率升高后,资本流动具有外部性,导致国内资产价格下跌,其通过金融加速器进一步使国内投资下降、资产价格进一步下跌,从而使得国内资产预期回报进一步下降,加剧资本外流。基于政策和福利分析,本文发现资本账户管理可以有效缓解国外利率冲击对经济波动的影响,同时会提高货币政策的独立性,但也会影响国民财富的最优配置。因此,最优的资本账户管理应同时兼顾宏观审慎和效率两个方面。     

欧洲股票市场的规模和动因:基于不同β系数的资本资产定价模型实证研究

我们选用在13个欧洲股市上市的证券,形成规模和动因组合.我们不仅发现规模溢价的证据,还发现8个样本市场存在重大动因收益率.这些收益率可能不构成异常现象,因为它们与不同β值的资本资产定价模型一致.我们还发现,系统风险与经济周期有关.此外,研究结果显示,虽然规模和动因收益率显著,但是难以在中、短期利用它们,因为在我们的样本...     

Beta lives - some statistical perspectives on the capital asset pricing model

This note summarizes some technical issues relevant to the use of the idea of excess return in empirical modelling. We cover the case where the aim is to construct a measure of expected return on an asset and a model of the CAPM type is used. We review some of the problems and show examples where the basic CAPM may be used to develop other results which relate the expected returns on assets both to the expected return on the market and other factors.     

Market structure and diversification of mutual funds

This study characterizes a systematic relationship between the diversification incentives and the market structure of the mutual funds industry with investors differentiated by their attitude towards risk. With sufficiently low competition the subgame perfect portfolio equilibrium exhibits maximal risk differentiation. With intensified competition intermediate funds, i.e., those attracting investors with intermediate attitudes towards risk, select diversified portfolios. Finally, we offer a general characterization of how imperfect competition between risk-differentiated funds will generate an equilibrium relationship between risk and expected returns.     

美国近百年来的对外负债

相当长时期以来,美国的巨额外债问题广为国内外所关注。本文考察1914年至今近百年来美国对外负债总体发展状况的阶段性演变,分析其构成的基本特征与成因,剖析上世纪80年代以来美国在巨额外债下保持强劲偿付能力的基础所在,并结合历史经验与当前现实简要讨论美国巨额外债的相关问题。这对于我们深入理解和研究美国外债及相关问题具有参考价值。     

The price of ethics and stakeholder governance: The performance of socially responsible mutual funds

Do investors pay a price for investing in socially responsible investments (SRI) funds, or do they obtain superior returns? This paper investigates these under- and overperformance hypotheses for all SRI funds across the world. Consistent with investors paying a price for ethics, SRI funds in the US, the UK, and in many continental European and Asia-Pacific countries underperform their domestic benchmarks by − 2.2% to − 6.5%. However, with the exception of some countries such as France, Japan and Sweden, the risk-adjusted returns of SRI funds are not statistically different from the performance of conventional funds. We also find that the underperformance of SRI funds is not driven by loadings on an ethics style factor. There is mixed evidence of a smart money effect: SRI investors are unable to identify the funds that will outperform in the future, whereas they show some fund-selection ability in identifying funds that will perform poorly. Finally, corporate governance and social screens yield lower risk-adjusted returns.     

投连险与基金信息披露的比较分析

与国际通行做法相比,我国投连险投资账户多履行了一个资产组合管理职能,这就使得投连险投资账户与基金具有了一定的可比性。本文基于投连险与基金信息披露的比较视角,指出了我国投连险信息披露存在的问题,并从保险公司、监管部门、社会力量三个方面提出了相应的对策。     

The Conditional Relationship Between Beta and Returns: A Reassessment

Abstract:  Several recent empirical tests of the Capital Asset Pricing Model have been based on the conditional relationship between betas and market returns. This paper shows that this method needs reconsideration. An adjusted version of this test is presented. It is then demonstrated that the adjusted technique has similar, or lower, power to the more easily implemented CAPM test of Fama and MacBeth (1973) if returns are normally distributed.     

Risk-taking and performance of government bond mutual funds

This paper investigates the risk exposures of government bond mutual funds and how risk-taking behavior affects fund performance. Government bond mutual funds often outperform their respective benchmark bond indexes before but not after adjusting for bond market risk factors. We show that the risk-taking behavior of fund managers helps to explain the different performances of government bond funds with and without controlling for the risk factors. Our results suggest that risk-taking leads to higher returns relative to benchmarks in normal risk periods but lower returns in high risk periods, suggesting that fund managers consistently take risky bets in fund management. We further show that the risk-taking of government bond funds is persistent and that investors typically have no ability to differentiate between the skill and risk components of fund performance. These findings suggest why fund managers have incentives to take consistently risky positions.     

Conditional performance, portfolio rebalancing, and momentum of small-cap mutual funds

To assess the performance of small-cap stocks net of transaction costs, we analyze 165 actively managed small-cap oriented portfolios. Our analysis addresses three areas of interest: (i) performance net of transaction costs, (ii) the magnitude of trading costs incurred when rebalancing an actively managed portfolio, and (iii) the potential for momentum strategy profits when investing in small-cap stocks.Using conditional estimation, we find that small-cap funds have earned a significantly positive abnormal return of about 2% per year in the period January 1986 to December 2000. We also estimate the cost of January rebalancing to be 0.4% of portfolio value, a value that is significant for over 20% of the portfolios under study.Finally, after trading frictions are taken into account, we find evidence that small-cap portfolios exhibit significant return patterns, similar in nature to momentum patterns initially documented in a frictionless setting by [J. Finance 48 (1993) 65; J. Finance 56 (2001) 699]. Our findings support recent behavioral models, which attempt to explain these patterns. Consistent with the findings of Jegadeesh and Titman, we find that past “winners” continue to outperform in the next 12 months, followed by a performance reversal.     

Comparative measures of performance for U.S.-based international equity mutual funds

This paper compares an international two-index model to an International Arbitrage Pricing Theory (IAPT) two-factor model to evaluate the performance of 37 U.S.-based international mutual funds over the 1985–1993 period. Results from the index model confirm prior research that international funds perform as well as the market proxy. In contrast, the IAPT model implies superior investment performance by the international funds. Moreover, the two models produce different relative performance rankings. Intertemporal comparisons of the models indicate that the multifactor IAPT model better reflects the international equity return-generating process.     

基于RAROC的银行资本配置陷阱与修正

利用RAROC(Risk-AdjustedReturnonCapital)与传统CAPM(CapitalAssetPricingModel)模型相结合进行资本配置,是目前大部分银行等金融机构所采用的主流方法。但是由于这一方法忽视了RAROC与CAPM各自的假设和环境,从而导致在很多方面不匹配,因此不可避免地使基于RAROC的资本配置框架产生一些陷阱,如银行对某一类资产的过度配置或者配置不足等问题。为此,本文首先分析了这些陷阱产生的根源及导致的后果,继而针对这些陷阱提出了一系列修正措施,如修正的CAPM模型—二因素模型,文——章最后在讨论这些修正可行性的基础上,建立了新的资本配置框架。     

美国经常账户失衡:表现、理论与政策——兼驳伯南克“世界储蓄过剩”论

本文考察了美国经常账户失衡的发展过程,指出了其对手方的国别与地区结构特点,随后总结了对该现象的有关研究和解释。文章简述了伯南克世界储蓄过剩论,指出了该观点论证逻辑中的错误,然后分析了其理论分析框架——储蓄缺口模型与新古典增长模型对美国经常账户失衡解释的不适用。     

美国联邦政府财务报告编制与审计研究

上世纪90年代开始的美国联邦政府财务报告编制与审计改革是联邦政府加强财务管理的一项重要内容。经过多次改革,形成了以权责发生制为主要会计计量基础的联邦政府财务报告体系,和以审计署的外部审计与监察长办公室的内部审计相结合的联邦政府财务报告审计模式。当前这种财务报告体系与审计模式仍处于发展与完善过程中,需不断改进财务信息质量和强化审计的作用。     

探析中美贸易逆差的原因及影响

近年来,随着中美经贸关系的日益紧密,分析不断扩大的美中贸易逆差具有十分重要的意义。本文主要研究了美中贸易逆差的原因和影响,结构安排如下：首先交代了研究背景,通过一些数据介绍了美中贸易逆差的现状,批出研究此问题的必要性。第二部分,分别采用国际收支平衡原理和要素禀赋定理两种方法进行分析,得出美国的国内政策是造成美国经济项目赤字的主要原因的结论,同进批出了一些流行说法的纰漏之处。可以看到,在全球储蓄结构巨大失衡情况下,单单通过削减美国财政赤字或通过人民币升值,都不有解决巨额美中贸易逆差。这一问题的解决需要中美双方的政策协调。     

战后美国经济周期再考察

二战后美国经济周期波动发生显著变化。相比二战之前,美国经济周期扩张期拉长,衰退期缩短,二者之间形成剪刀差。经济周期长度、扩张期跨度和紧缩期跨度的离散度远远大于战前。二战后至今,美国经济中周期出现(朱格拉周期)呈拉长的趋势,扩张期远远长于衰退期,中周期(朱格拉周期)和短周期(基钦周期)的波幅经历了从小到大的阶段性变化。     

The rise and fall of portfolio pumping among U.S. mutual funds

This study examines how increased regulatory attention to portfolio pumping affects the trading behavior of U.S. mutual funds. Attention by regulators should increase the likelihood of fines and reputational damage, raising the cost of such last-minute price manipulation. Consistent with this assertion, we find that last-minute price spikes in aggregate fund indices, in fund holdings and in institutional trading around quarter-ends declined, the declines are largest around year-ends, for small-cap and better-performing funds, and occurred faster for funds headquartered near SEC regional offices. These findings suggest that increased regulatory attention reduced portfolio pumping by U.S. mutual funds.