Gender,style diversity,and their effect on fund performance

This paper examines the performance of 358 European diversified equity mutual funds controlling for gender diversity. Fund performance is evaluated against funds’ designated market indices and representative style portfolios. Consistently with previous studies, proper statistical tests point to the absence of significant differences in performance and risk between female and male managed funds. However, perverse market timing manifests itself mainly in female managed funds and in the left tail of the returns distribution. Interestingly, at fund level there is evidence of significant overperformance that survives even after accounting for funds’ exposure to known risk factors. Employing a quantile regression approach reveals that fund performance is highly dependent on the selection of the specific quantile of the returns distribution; also, style consistency for male and female managers manifests itself across different quantiles. These results have important implications for fund management companies and for retail investors’ asset allocation strategies.     

新形势下的银企关系

编者按: 当前,银行与企业似乎处在某种互相的埋怨中.一方面,银行抱怨企业诚信不够,信息不真,经营不稳健,见异思迁,忠诚度差;另一方面,企业总是抱怨银行服务手段少,贷款水平低,没有担保就不知如何做贷款,总是嫌贫爱富,需要钱时不拉一把,不需要钱时则不请自来,银行总是在不需要时出现.     

Trades of the living dead: Style differences, style persistence and performance of currency fund managers

We make use of a new database on daily currency fund manager returns over a three-year period, 2005–2008. This higher frequency data allows us to estimate both alpha measures of performance and beta style factors on a yearly basis, which in turn allows us to test for persistence. We find no evidence to support alpha persistence; a manager’s alpha in one year is not significantly related to his alpha in the prior year. On the other hand, there is substantial evidence for style persistence; funds that rely on carry, trend or value trading or with a long/short bias toward currency volatility are likely to maintain that style in the following year. In addition, we are able to examine the performance of managers that survive through the entire sample period, versus those that drop out. We find significant differences in both the investment styles of living versus deceased funds, as well as their realized alpha performance measures. We conjecture that both style differences and ineffective market timing, rather than market conditions, have impacted performance outcomes and induced some managers to close their funds.     

Global style momentum

We first document the empirical regularity of significant style-level momentum returns in international data. Then we test some Barberis and Shleifer (2003) propositions regarding style momentum. One proposition holds that Sharpe ratios from style-level momentum strategies should be at least as large as stock-level momentum Sharpe ratios. We test for style-level momentum profitability in our sample of global markets and find some evidence of larger style momentum Sharpe ratios, especially within the value-growth style. However, most of the evidence favors stock momentum. The Barberis and Shleifer (2003) model also suggests that style momentum could be time-varying. Variables that effectively condition stock momentum are much less effective with style momentum.     

Reconsidering the natural rate hypothesis in a New Keynesian framework

This paper formulates a stylized New Keynesian model in which each individual firm can select the frequency of its price adjustments. The endogeneity of contract duration has a dramatic impact on the magnitude of the aggregate effects of steady-state inflation. With a plausible calibration of the magnitude of menu costs and other structural parameters, this model predicts a relationship between steady-state inflation and the frequency of price adjustment that is reasonably close to the empirical findings of cross-country studies. Furthermore, at moderate inflation rates, steady-state inflation generates relative price distortions that have a non-trivial impact on aggregate output, but this impact wanes and eventually disappears at much higher annual inflation rates because the frequency of price adjustment approaches that of the flexible-price economy.     

再谈18亿亩耕地的保护

拿目前的现实来看,我国并不缺粮,总的说来粮价也不算太高,也很少有人因为粮价高而挨饿。     

The seasoned executive's decision-making style

Leaders make decisions every day of their lives, but how they do it changes dramatically over the course of their careers. At lower levels, the job is to get widgets out the door; action is at a premium. At higher levels, the job involves decisions about which widgets to offer and how to develop them. To climb the corporate ladder and be effective in new roles, managers need to change the way they use information and evaluate options. Based on a study of the decision-making profiles of more than 120,000 executives, the authors found that people make decisions very differently in public than they do in private and that the decision styles of successful managers evolve in highly predictable patterns. The most successful managers and executives become increasingly open and interactive in their leadership (or public) styles, and more analytic in their thinking (or private) styles, as they progress in their careers. The research shows that decision-making profiles do a complete flip over the course of a career; that is, the decision profile of a successful CEO is the opposite of a successful first-line supervisor's. When does the major change in focus occur? Somewhere between the manager level and the director level, executives find that formerly effective decision styles no longer work so well. At this point, decision styles fall into a "convergence zone", where managers use all styles more or less equally. From then on, the executives continue to evolve their styles. The most successful managers come to the convergence zone quickly and continue to adjust their styles as their careers progress. Low performers seem to stagnate once they hit the convergence zone; their styles do not evolve in new directions. Clearly, relying on past successes and habits is no guarantee of success-indeed, it may be the road to failure.     

Reconsidering the role of money for output, prices and interest rates

New Keynesian models of monetary policy downplay the role of monetary aggregates, in the sense that the level of output, prices, and interest rates can be determined without knowledge of the quantity of money. This paper evaluates the empirical validity of this prediction by studying the effects of shocks to monetary aggregates using a vector autoregression (VAR). Shocks to monetary aggregates are identified by the restrictions suggested by New Keynesian monetary models. Contrary to the theoretical predictions, shocks to broad monetary aggregates have substantial and persistent effects on output, prices and interest rates.     

Fiscal Stimulus in Times of High Debt: Reconsidering Multipliers and Twin Deficits

We investigate the impact of fiscal stimuli at different levels of the government debt‐to‐GDP ratio for a sample of 17 European countries from 1970 to 2010. This is implemented in an interacted panel VAR framework in which all coefficient parameters are allowed to change continuously with the debt‐to‐GDP ratio. We find that responses to government spending shocks exhibit strong nonlinear behavior. While the overall cumulative effect of a spending shock on real GDP is positive and significant at moderate debt‐to‐GDP ratios, this effect turns negative as the ratio increases. The total cumulative effect on the trade balance as a share of GDP is negative at first but switches sign at higher levels of debt. Consequently, depending on the degree of public indebtedness, our results accommodate long‐run fiscal multipliers that are greater and smaller than one or even negative as well as twin deficit and twin divergence behavior within one sample and time period. From a policy perspective, these results lend additional support to increased prudence at high public debt ratios because the effectiveness of fiscal stimuli to boost economic activity or resolve external imbalances may not be guaranteed.     

Multilevel dual approach for pricing American style derivatives

In this article we propose a novel approach to reduce the computational complexity of the dual method for pricing American options. We consider a sequence of martingales that converges to a given target martingale and decompose the original dual representation into a sum of representations that correspond to different levels of approximation to the target martingale. By next replacing in each representation true conditional expectations with their Monte Carlo estimates, we arrive at what one may call a multilevel dual Monte Carlo algorithm. The analysis of this algorithm reveals that the computational complexity of getting the corresponding target upper bound, due to the target martingale, can be significantly reduced. In particular, it turns out that using our new approach, we may construct a multilevel version of the well-known nested Monte Carlo algorithm of Andersen and Broadie (Manag. Sci. 50:1222–1234, 2004) that is, regarding complexity, virtually equivalent to a non-nested algorithm. The performance of this multilevel algorithm is illustrated by a numerical example.     

Leadership style, budgetary participation and managerial behavior

This paper reports the results of a study of the effects of leadership style and budgetary participation on performance and job satisfaction. The first two variables have been given much attention in the organizational behavior and management accounting literatures, respectively, while litte consideration has been given to both jointly. The most important results of the study reveal that the two variables interact in their effects on the criterion variables. Under certain leadership conditions, budgetary participation was found to have strong positive effects on performance and job satisfaction. Under other conditions, the reverse was true. The implications of the results for control system design and personnel management are considered.     

Testing for structural breaks in return-based style regression models

Financial Markets and Portfolio Management - It is important for investors to know not only the style of a fund manager in which they are interested, but also whether this style is constant or...     

Short-term predictability of equity returns along two style dimensions

This study uses daily return data on 20 portfolios split along two dimensions, growth/value and market size, over the period of four decades and employs over 12,000 trading rules to investigate the short-term predictability of portfolio returns. It shows that, historically, portfolios of small stocks and value stocks have been more suitable for active trading strategies since returns on value portfolios exhibit more predictability than returns on growth portfolios and returns on portfolios of large stocks appear to be less predictive than returns on portfolios of small stocks. The predictive ability of trading rules is all but gone during the 2000s. Popularization of exchange-traded funds and the introduction of quote decimalization on the exchanges are the most likely reasons behind the lack of predictability.     

A comprehensive investigation into style momentum strategies in China

Financial Markets and Portfolio Management - This study conducts a comprehensive investigation into style momentum strategies—the combination of price momentum strategies based on previous...     

Explaining municipal audit costs in Sweden: Reconsidering the political environment,the municipal organisation and the audit market

With the purpose of explaining professional audit costs in Swedish municipalities, we hypothesised that audit costs are partly driven by various signalling and monitoring incentives in order to manage stakeholder relationships. Our model of the determinants of audit costs was tested on data from Swedish municipalities, thus extending the study of audit costs to political organisations in a Scandinavian institutional context. The test supported to some extent the traditional propositions of organisational complexity, risk and market determinants, as well as the proposition of the political environment. Our results indicate that audit costs are used to signal accountability, thereby suggesting that audit as a signal could be managed without managing professional auditors.     

A forward started jump-diffusion model and pricing of cliquet style exotics

In this paper we present an alternative model for pricing exotic options and structured products with forward-starting components. As presented in the recent study by Eberlein and Madan (Quantitative Finance 9(1):27–42, 2009), the pricing of such exotic products (which consist primarily of different variations of locally/globally, capped/floored, arithmetic/geometric etc. cliquets) depends critically on the modeling of the forward–return distributions. Therefore, in our approach, we directly take up the modeling of forward variances corresponding to the tenor structure of the product to be priced. We propose a two factor forward variance market model with jumps in returns and volatility. It allows the model user to directly control the behavior of future smiles and hence properly price forward smile risk of cliquet-style exotic products. The key idea, in order to achieve consistency between the dynamics of forward variance swaps and the underlying stock, is to adopt a forward starting model for the stock dynamics over each reset period of the tenor structure. We also present in detail the calibration steps for our proposed model.     

A cross cultural study of the learning style of accounting students

This paper examines how individualism-collectivism, the core dimension of cultural variability, is reflected in the learning styles of accounting students in Australia, Hong Kong and Taiwan. Australia represents the Western individualistic culture, and Hong Kong and Taiwan represent the Chinese collectivistic culture. Using Kolb's model this study shows that the learning styles of accounting students from Hong Kong and Taiwan are more abstract and reflective, as well as less concrete and active. Their Australian counterparts are more concrete and active, as well as less abstract and reflective. While the former exhibit the assimilation style, the latter represent the accommodation style.     

The style and innate structure of the stock markets in China

By applying symbolic principal component analysis (SPCA) to 10 years (1996–2005) of interquartile data, we find that two factors—corporate style and corporate performance—parsimoniously characterize the innate structure of the Chinese stock markets. Further analysis shows that the seemingly peculiar negative beta/return relation is not truly anomalous but is associated to using a very high risk-free rate, pervasive negative returns, and stock styles. The negative returns in recent years coincided with the bearish stock market, which started in mid-2001. Time-indexed zoom-star plots also confirm a trend of high speculation on growth stocks in recent years.     

The other January effect: International, style, and subperiod evidence

We report international, style, and subperiod evidence for the other January effect (OJE) documented in Cooper et al. [2006. The other January effect. Journal of Financial Economics 82, 315–341]. When examining the OJE in 22 countries starting as early as 1801, we find that the spread between 11-month returns following positive and negative Januarys does tend to be positive. However, the spreads are rarely statistically significant and the returns of other calendar months exhibit similar subsequent 11-month return spreads. Further, the international OJE spreads and the OJE spreads in disaggregate U.S.-style portfolios are more related to the U.S. market-level January return, rather than the respective country-specific or portfolio-specific January return. Finally, the OJE is weaker over the 1975–2006 post-discovery period than over the 1940–1974 pre-discovery period. Our evidence indicates that the OJE is primarily a U.S. market-level-based phenomenon that has diminished over time, which suggests a ‘temporary anomaly’ interpretation.